Title :
Analysis of a risk-sensitive control problem for hidden Markov chains
Author :
Hernández-Hernández, Daniel ; Marcus, Steven I. ; Fard, Pedram J.
Author_Institution :
Dept. de Matematicas, CINVESTAV-IPN, Mexico City, Mexico
fDate :
5/1/1999 12:00:00 AM
Abstract :
In this paper the risk-sensitive control of partially observed Markov decision processes is considered. The replacement problem is analyzed in this context, and the structure of risk sensitive optimal controllers is given
Keywords :
control system analysis; hidden Markov models; optimal control; stochastic systems; HMM; hidden Markov chains; partially observed Markov decision processes; replacement problem; risk-sensitive control analysis; Costs; Dynamic programming; Equations; Hidden Markov models; Mathematics; Optimal control; Process control; Risk analysis; State-space methods; Stochastic processes;
Journal_Title :
Automatic Control, IEEE Transactions on
