Browsing by Author "Elliott, Robert J."
Now showing items 1-8 of 8
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Article
Bank filters for ML parameter estimation via the Expectation-Maximization algorithm: The continuous-time case
Charalambous, Charalambos D.; Logothetis, Andrew; Elliott, Robert J. (1998)In this paper we consider continuous-time partially observed systems in which the parameters are unknown. We employ conditional moment generating functions of integrals and stochastic integrals to derive new maximum-likelihood ...
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Conference Object
Certain results concerning filtering and control of diffusions in small white noise
Charalambous, Charalambos D.; Elliott, Robert J. (IEEE, 1997)The purpose of this talk is twofold. First, we examine in detail the binary hypothesis decision and/or estimation problem using a risk-sensitive cost criterion, when the state and observation processes are diffusion signals. ...
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Conference Object
Conditional moment generating functions for integrals and stochastic integrals
Charalambous, Charalambos D.; Elliott, Robert J.; Krishnamurthy, Vikram (IEEE, 1997)In this paper we present two methods for computing filtered estimates for moments of integrals and stochastic integrals of continuous-time nonlinear systems. The first method utilizes recursive stochastic partial differential ...
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Conference Object
Examples of optimal control for nonlinear stochastic control problems with partial information
Charalambous, Charalambos D.; Elliott, Robert J. (IEEE, 1995)Partially observable stochastic optimal control problems are considered. It is shown, via an information state approach and dynamic programming, that several classes of nonlinear systems with non-linearities in the dynamics ...
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Conference Object
Information states in optimal control of stochastic systems: A Lie algebraic theoretic approach
Charalambous, Charalambos D.; Elliott, Robert J. (IEEE, 1997)In this paper we introduce the sufficient statistic algebra which is responsible for propagating the sufficient statistic, or information state, in the optimal control of stochastic systems. Using a Lie algebraic formulation, ...
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Conference Object
New finite-dimensional risk-sensitive filters: Small-noise limits
Charalambous, Charalambos D.; Dey, Subhrakanti; Elliott, Robert J. (IEEE, 1997)This paper is concerned with continuous-time nonlinear risk-sensitive filters. It is shown that for large classes of nonlinearities entering both the dynamics and measurements, these filters are finite-dimensional, ...
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Conference Object
New finite-dimensional stochastic optimal control problems
Charalambous, Charalambos D.; Elliott, Robert J. (IEEE, 1997)This paper is concerned with partially observed stochastic optimal control problems. The states of the system are described by nonlinear controlled diffusion equations. The measurements are noisy linear combinations of the ...
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Conference Object
Remarks on the explicit solutions for nonlinear partially observable stochastic control problems and relations to H∞ or robust control
Charalambous, Charalambos D.; Elliott, Robert J. (IEEE, 1995)Partially observable stochastic and H∞ control problems are considered. The dynamics include nonlinearities which are the gradient of some potential function in addition to linear terms, the observations are linear, and ...