Browsing by Subject "Signal filtering and prediction"
Now showing items 1-10 of 10
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Conference Object
Certain results concerning filtering and control of diffusions in small white noise
(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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Article
Classes of nonlinear partially observable stochastic optimal control problems with explicit optimal control laws
(1998)This paper introduces certain nonlinear partially observable stochastic optimal control problems which are equivalent to completely observable control problems with finite-dimensional state space. In some cases the optimal ...
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Conference Object
Comparison of a nonlinear adaptive controller with certainty-equivalence type adaptive controllers
(IEEE, 1995)Recently a new class of adaptive controllers for linear time invariant minimum phase plants has been proposed and analyzed. The design of these controllers is based on nonlinear tools and appears to be different from that ...
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Conference Object
Discrete-time risk-sensitive filters with non-Gaussian initial conditions and their ergodic properties
(IEEE, 1999)In this paper, we study asymptotic stability properties of risk-sensitive filters with respect to their initial conditions. In particular, we consider a linear time-invariant systems with initial conditions that are not ...
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Article
Discrete-time risk-sensitive filters with on-Gaussian initial conditions and their ergodic properties
(2001)We study asymptotic stability properties of risk-sensitive filters with respect to their initial conditions. We consider a linear time-invariant systems with initial conditions that are not necessarily Gaussian. We show ...
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Conference Object
Evaluation of likelihood-ratio and performance bounds for nonlinear decision problems via stochastic PDE
(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
(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
Fast backward predictive congestion notification for ATM networks with significant propagation delays
(1995)A fast Backward Predictive Congestion Notification (BPCN) scheme for ATM networks is proposed, whose objective is to avoid cell loss and achieve high resource utilisation during high traffic demand. A dynamic adaptive model ...
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Conference Object
Necessary conditions for partially observed diffusions
(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
New finite-dimensional risk-sensitive filters: Small-noise limits
(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, ...