Robust dynamics and control of a partially observed Markov chain

DOI10.1007/s00245-007-9007-8OpenAlexW2158613955MaRDI QIDQ2480783

Yanyan Li

Publication date: 3 April 2008

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-007-9007-8

zbMATH Keywords

Viterbi algorithmSmoothingFilteringHybrid dynamicsJump Markov systemsReference probability

Mathematics Subject Classification ID

Statistics (62-XX) Stochastic systems and control (93Exx)

Related Items (1)

The mean squared loss control problem for a partially observed Markov chain

Cites Work

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• A partially observed control problem for Markov chains
• A deterministic discretisation-step upper bound for state estimation via Clark transformations
• Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work
• A stochastic minimum principle
• An Introductory Approach to Duality in Optimal Stochastic Control
• Time discretization of continuous-time filters and smoothers for HMM parameter estimation
• Optimal Continuous-Parameter Stochastic Control

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