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

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dc.contributor.authorElliott, Roberteng
dc.contributor.authorSiu, Tak Kueneng
dc.date.accessioned2012-06-13T17:00:35Z
dc.date.available2012-06-13T17:00:35Z
dc.date.issued2011
dc.descriptionArticle deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012eng
dc.description.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.eng
dc.description.refereedYeseng
dc.identifier.citationRobert J. Elliott, Tak Kuen Siu, Control of discrete-time HMM partially observed under fractional Gaussian noises, Systems & Control Letters, Volume 60, Issue 5, May 2011eng
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/34078
dc.identifier.issn0167-6911
dc.identifier.urihttp://hdl.handle.net/1880/48982
dc.language.isoengeng
dc.publisherElseviereng
dc.publisher.corporateUniversity of Calgaryeng
dc.publisher.facultyHaskayne School of Businesseng
dc.publisher.hasversionPost-print
dc.publisher.urlhttp://www.journals.elsevier.com/systems-and-control-letters/eng
dc.subjectDiscrete-time controleng
dc.subjectHidden Markov modelseng
dc.subject.otherFractional Gaussian noiseseng
dc.subject.otherUnnormalized conditional probabilityeng
dc.subject.otherDynamic programmingeng
dc.subject.otherMinimum principleeng
dc.titleControl of discrete-time HMM partially observed under fractional Gaussian noiseseng
dc.typejournal articleeng
thesis.degree.disciplineFinanceeng
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