Risk-sensitive filtering and smoothing for hidden Markov models

DOI10.1016/0167-6911(94)00093-BMaRDI QIDQ672443zbMATH OpenFDO

Authors Subhrakanti Dey, John Moore

Publication date 28 February 1997

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(94)00093-B

zbMATH Keywords

Fixed-interval smoothingHidden Markov modelInformation statereference probability methodRisk-sensitive filtering

Mathematics Subject Classification ID

Data smoothing in stochastic control theory (93E14) Optimal stochastic control (93E20)

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Cites work

• Finite-dimensional quasi-linear risk-sensitive control
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• On-line estimation of hidden Markov model parameters based on the Kullback-Leibler information measure
• Recursive estimation from discrete-time point processes
• Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
• Risk-sensitive linear/quadratic/gaussian control
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains

Cited in

(25)

• Risk sensitive filtering with Poisson process observations
• On asymptotic stability of continuous-time risk-sensitive filters with respect to initial conditions
• Risk-sensitive filtering, prediction and smoothing for discrete-time singular systems
• Hidden Markov models: inverse filtering, belief estimation and privacy protection
• Event-triggered robust state estimation for systems with unknown exogenous inputs
• Risk-sensitive filtering for jump Markov linear systems
• Risk-sensitive probability for Markov chains
• Event-triggered smoothing for hidden Markov models: risk-sensitive and MMSE results
• Exponential stability of filters and smoothers for hidden Markov models
• Risk-Sensitive Filtering and Smoothing for Continuous-Time Markov Processes
• Finite Horizon Robust State Estimation for Uncertain Finite-Alphabet Hidden Markov Models with Conditional Relative Entropy Constraints
• Risk-sensitive fixed-point smoothing estimation for linear discrete-time systems with multiple output delays
• Risk-sensitive filtering and smoothing via reference probability methods
• scientific article; zbMATH DE number 2015385 (Why is no real title available?)
• Finite-dimensional risk-sensitive filters and smoothers for discrete-time nonlinear systems
• An adaptive risk-sensitive filtering method for Markov jump linear systems with uncertain parameters
• Overall risk criterion estimation of hidden Markov model parameters
• Risk-sensitive filtering for nonlinear Markov jump systems on the basis of particle approximation
• Estimation of hidden Markov models for a partially observed risk sensitive control problem.
• Discrete–time nonlinear filtering with marked point process observations: ii. risk–sensitive filters
• On Large Lag Smoothing for Hidden Markov Models
• Consistent Estimation of the Filtering and Marginal Smoothing Distributions in Nonparametric Hidden Markov Models
• The Wonham filter under uncertainty: A game-theoretic approach
• Minimax estimation in systems of observation with Markovian chains by integral criterion
• Risk sensitive and LEG filtering problems are not equivalent

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