Maximum Likelihood Estimation of Discrete Control Processes

DOI10.1137/0326056MaRDI QIDQ3824209zbMATH OpenOpenAlexWikidataFDO

Authors John Rust

Publication date 1988

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://ageconsearch.umn.edu/record/292600/files/uwmad-0020.PDF

zbMATH Keywords

asymptotic Gaussian distributionBellman's principle of optimalitydiscrete control processesinternally consistent statistical modelinverse stochastic controlnested fixed-point maximum likelihood algorithmNewton-Kantorovich algorithmstatistical inferenceunobserved state variables

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Numerical solutions to equations with nonlinear operators (65J15) Markov and semi-Markov decision processes (90C40) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

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