In this chapter the control of HMM in continuous time is discussed. The first situation considered is that of a continuous-time finite-state Markov chain which is not observed directly; rather, there is a conditional Poisson process whose rate, or intensity, is a function of the Markov chain. An equation for the unnormalized distribution q of the Markov chain, given the observations, is derived. The control problem is then formulated in separated form with q as the new state variable. A minimum principle is obtained.
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© 1995 Springer Science+Business Media, LLC
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(1995). Continuous-Time HMM Control. In: Hidden Markov Models. Stochastic Modelling and Applied Probability, vol 29. Springer, New York, NY. https://doi.org/10.1007/978-0-387-84854-9_12
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DOI: https://doi.org/10.1007/978-0-387-84854-9_12
Publisher Name: Springer, New York, NY
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