Displaying similar documents to “Bayesian parameter estimation and adaptive control of Markov processes with time-averaged cost”

Recursive self-tuning control of finite Markov chains

Vivek Borkar (1997)

Applicationes Mathematicae

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A recursive self-tuning control scheme for finite Markov chains is proposed wherein the unknown parameter is estimated by a stochastic approximation scheme for maximizing the log-likelihood function and the control is obtained via a relative value iteration algorithm. The analysis uses the asymptotic o.d.e.s associated with these.

Estimation of hidden Markov models for a partially observed risk sensitive control problem

Bernard Frankpitt, John S. Baras (1998)

Kybernetika

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This paper provides a summary of our recent work on the problem of combined estimation and control of systems described by finite state, hidden Markov models. We establish the stochastic framework for the problem, formulate a separated control policy with risk-sensitive cost functional, describe an estimation scheme for the parameters of the hidden Markov model that describes the plant, and finally indicate how the combined estimation and control problem can be re-formulated in a framework...