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

B. Frankpitt and J. Baras

5th IEEE Mediterranean Conference on Control and Systems, Cyprus, Greece, July 21-23, 1997.

Abstract

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.