Risk-sensitive filtering and smoothing for continuous-time Markov Processes.
W. Paul MalcolmRobert J. ElliottMatthew R. JamesPublished in: IEEE Trans. Inf. Theory (2005)
Keyphrases
- markov processes
- risk sensitive
- optimal control
- markov chain
- utility function
- markov process
- continuous time bayesian networks
- model free
- stochastic processes
- markov decision processes
- random fields
- non stationary
- optimality criterion
- decision theoretic
- control policies
- markov decision problems
- steady state
- dynamic programming
- random variables
- learning algorithm
- finite state
- random walk
- expected utility
- graphical models
- state space
- probability distribution
- bayesian networks