|
|||||
|
|
Control of discrete-time HMM partially observed under fractional Gaussian noises |
|
| Authors: | Robert J. Elliott Tak Kuen Siu |
| Affiliation: | a School of Mathematical Sciences, University of Adelaide, Adelaide, SA 5005, South Australia, Australia;b Haskayne School of Business, University of Calgary, Calgary, Alberta, Canada;c Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University, NSW 2109, Sydney, Australia |
| Abstract: | A discrete-time control problem of a finite-state hidden Markov chain partially observed in a fractional Gaussian process is discussed using filtering. The control problem is then recast as a separated problem with information variables given by the unnormalized conditional probabilities of the whole path of the hidden Markov chain. A dynamic programming result and a minimum principle are obtained. |
| Keywords: | Discrete-time control Hidden Markov models Fractional Gaussian noises Unnormalized conditional probability Dynamic programming Minimum principle |
| 本文献已被 ScienceDirect 等数据库收录！ | |