Estimation of Hidden Markov Models for Partially Observed Risk Sensitive Control Problems

Estimation of Hidden Markov Models for Partially Observed Risk Sensitive Control Problems

Title : Estimation of Hidden Markov Models for Partially Observed Risk Sensitive Control Problems
Authors :
Frankpitt, Bernard.
Baras, John, S.
Conference : 5th IEEE Mediterranean Conference on Control and Systems
Date: July 21 - July 23, 1997

We look at the problem of estimation for partially observed, risk-sensitive control problems with finite state, input and output sets, and receding horizon. We describe architectures for risk-sensitive controllers, and estimation, and we state conditions under which both the estimated model converges to the true model, and the control policy will converge to the optimal risk sensitive policy.

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