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

Robert J. Elliott, Tak Kuen Siu

Research output: Contribution to journalArticle

1 Citation (Scopus)

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 languageEnglish
Pages (from-to)350-355
Number of pages6
JournalSystems and Control Letters
Volume60
Issue number5
DOIs
Publication statusPublished - May 2011

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