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Information states in optimal control of stochastic systems: A Lie algebraic theoretic approach
(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, ...
Applications of minimum principle for continuous-time partially observable risk-sensitive control problems
(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 ...
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 ...
Maximum Likelihood parameter estimation from incomplete data via the sensitivity equations: The continuous-time case
(IEEE, 1999)
The problem of estimating the parameters for continuous-time partially observed systems is discussed. New exact filters for obtaining Maximum Likelihood (ML) parameter estimates via the Expectation Maximization algorithm ...
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 ...
Risk-sensitive control, differential games, and limiting problems in infinite dimensions
(IEEE, 1994)
In this paper we present the solutions of the stochastic finite and infinite horizon risk-sensitive control problems in infinite dimensions, with μ, ε > 0, respectively, representing the risk-sensitivity and small noise ...
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 ...
Necessary conditions of optimization for partially observed controlled diffusions
(1999)
Necessary conditions are derived for stochastic partially observed control problems when the control enters the drift coefficient and correlation between signal and observation noise is allowed. The problem is formulated ...
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 ...
The role of information state and adjoint in relating nonlinear output feedback risk-sensitive control and dynamic games
(1997)
This paper employs logarithmic transformations to establish relations between continuous-time nonlinear partially observable risk-sensitive control problems and analogous output feedback dynamic games. The first logarithmic ...