Control of discrete-time HMM partially observed under fractional Gaussian noises
Siu, Tak Kuen
OtherFractional Gaussian noises
Unnormalized conditional probability
Hidden Markov models
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AbstractA 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.
Article deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012