Control of discrete-time HMM partially observed under fractional Gaussian noises

Robert J. Elliott; Tak Kuen Siu

doi:10.1016/j.sysconle.2011.02.012

Control of discrete-time HMM partially observed under fractional Gaussian noises

Robert J. Elliott, Tak Kuen Siu

Department of Applied Finance

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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.

Original language	English
Pages (from-to)	350-355
Number of pages	6
Journal	Systems and Control Letters
Volume	60
Issue number	5
DOIs	https://doi.org/10.1016/j.sysconle.2011.02.012
Publication status	Published - May 2011

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10.1016/j.sysconle.2011.02.012

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title = "Control of discrete-time HMM partially observed under fractional Gaussian noises",

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.",

author = "Elliott, {Robert J.} and Siu, {Tak Kuen}",

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AU - Siu, Tak Kuen

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AB - 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.

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SP - 350

EP - 355

JO - Systems and Control Letters

JF - Systems and Control Letters

SN - 0167-6911

IS - 5

ER -

Control of discrete-time HMM partially observed under fractional Gaussian noises

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