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Solvable risk-sensitive control problems with output feedback
(IEEE, 1994)
In this paper a partially observed nonlinear stochastic control with exponential running cost is considered. Explicit solutions for evaluating expectations of exponential functions are found when the control is assumed to ...
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. ...
Stochastic models for short-term multipath fading channels: chi-square and Ornstein-Uhlenbeck processes
(IEEE, 1999)
This paper discusses the use of stochastic differential equations to model signal envelope variations over areas, which are subject to short-term fading effects. The short-term fading effects are modeled using Ornstein-Uhlenbeck ...
Bank filters for ML parameter estimation via the Expectation-Maximization algorithm: The continuous-time case
(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 ...
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 ...
Conditional moment generating functions for integrals and stochastic integrals
(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 ...
Stochastic models for long-term multipath fading channels and their statistical properties
(IEEE, 1999)
This paper discusses the use of stochastic differential equations and point processes to model the long-term fading effects during transmission of electromagnetic waves over large areas, which are subject to multipaths and ...
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. ...
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. ...