Browsing by Author "Hibey, Joseph L."
Now showing items 1-10 of 10
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Conference Object
Applications of minimum principle for continuous-time partially observable risk-sensitive control problems
Charalambous, Charalambos D.; Hibey, Joseph L. (IEEE, 1995)This paper employs the minimum principle derived in [1], for nonlinear partially observable exponential of integral control problems, to solve linear-exponential-quadratic-Gaussian (LEQG) tracking problems using two different ...
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Article
Conditional densities for continuous-time nonlinear hybrid systems with applications to fault detection
Hibey, Joseph L.; Charalambous, Charalambos D. (1998)Continuous-time nonlinear stochastic differential state and measurement equations, all of which have coefficients capable of abrupt changes at a random time, are considered; finite-state jump Markov chains are used to model ...
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Conference Object
Evaluation of likelihood-ratio and performance bounds for nonlinear decision problems via stochastic PDE
Charalambous, Charalambos D.; Hibey, Joseph L. (American Automatic Control Council, 1994)The nonlinear binary decision problem with signal satisfying a diffusion equation observed through noisy measurements is considered. Using the unnormalized conditional density of nonlinear filtering, expressions for ...
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Conference Object
Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems
Charalambous, Charalambos D.; Logothetis, Andrew; Hibey, Joseph L. (IEEE, 1999)This paper presents explicit finite-dimensional filters for implementing Newton-Raphson (NR) parameter estimation algorithms. The models which exhibit nonlinear parameter dependence are stochastic, continuous-time and ...
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Conference Object
First passage risk-sensitive criterion for stochastic evolutions
Charalambous, Charalambos D.; Hibey, Joseph L. (1995)The purpose of this paper is to investigate in an infinite dimensional space, the first passage problem with a risk-sensitive performance criterion, and to illustrate the asymptotic behavior of the associated value function, ...
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Article
Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions
Charalambous, Charalambos D.; Hibey, Joseph L. (1996)This paper is concerned with the derivation of a minimum principle for partially observed controlled diffusions with correlation between signals and observation noises, when the sample cost criterion is an exponential of ...
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Conference Object
Necessary conditions for partially observed diffusions
Charalambous, Charalambos D.; Hibey, Joseph L. (IEEE, 1993)We present a new approach to deriving necessary conditions for stochastic partially observed control problems when the control enters the drift coefficient, and correlation between signal and observation noise is allowed. ...
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Conference Object
Performance analysis for a changepoint problem
Hibey, Joseph L.; Charalambous, Charalambos D. (IEEE, 1997)Nonlinear stochastic differential equations are used to model a version of the changepoint problem. State estimates of the minimum-mean-square-error type are used in likelihood-ratio tests to detect the time of change. We ...
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Conference Object
Risk-sensitive/integral control for systems with point process observations
Charalambous, Charalambos D.; Hibey, Joseph L. (IEEE, 1994)This paper deals with necessary conditions for integral and exponential-of-integral cost functions, when the signal is a controlled diffusion process, and the observations consist of continuous and discontinuous processes. ...
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Conference Object
Role of measure-valued decompositions in stochastic control
Charalambous, Charalambos D.; Hibey, Joseph L. (American Automatic Control Council, 1994)Following up the measure-valued decompositions of Kunita [1], and the martingale representation result for L2-processes of Bensoussan [2], we have recently derived in [3], necessary conditions of optimizing nonlinear ...