Search
Now showing items 1-10 of 10
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 ...
Role of measure-valued decompositions in stochastic control
(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 ...
Examples of optimal control for nonlinear stochastic control problems with partial information
(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 ...
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 ...
Risk-sensitive/integral control for systems with point process observations
(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. ...
First passage risk-sensitive criterion for stochastic evolutions
(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, ...
Performance analysis for a changepoint problem
(1999)
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. ...
First-passage study and stationary response analysis of a BWB hysteresis model using quasi-conservative stochastic averaging method
(1995)
The quasi-conservative stochastic averaging (QCSA) method is applied to a Bouc-Wen-Baber hysteretic system (BWB) under Gaussian white noise excitations. The stationary probability density of the system's response amplitude ...
Performance analysis for a changepoint problem
(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 ...
Performance analysis for a changepoint problem
(1999)
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. ...