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Fast Convergence Identification of Hidden Markov Models using Risk-Sensitive Filters

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Thorne, Jeremy; Moore, John

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In this paper we derive recursive risk-sensitive filters which may be used for both on-line and off-line identification of hidden Markov models (HMMs). The identification is achieved by first taking risk-sensitive conditional mean estimates of the number

dc.contributor.authorThorne, Jeremy
dc.contributor.authorMoore, John
dc.date.accessioned2015-12-13T22:15:33Z
dc.identifier.issn0362-546X
dc.identifier.urihttp://hdl.handle.net/1885/70462
dc.description.abstractIn this paper we derive recursive risk-sensitive filters which may be used for both on-line and off-line identification of hidden Markov models (HMMs). The identification is achieved by first taking risk-sensitive conditional mean estimates of the number
dc.publisherPergamon-Elsevier Ltd
dc.sourceNonlinear Analysis
dc.subjectKeywords: Computer simulation; Convergence of numerical methods; Mathematical models; Optimization; Parameter estimation; Hidden Markov models (HMM); Risk-sensitive filters; Markov processes Convergence; Hidden Markov models; Identification; Risk-sensitive
dc.titleFast Convergence Identification of Hidden Markov Models using Risk-Sensitive Filters
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.citationvolume47
dc.date.issued2001
local.identifier.absfor010406 - Stochastic Analysis and Modelling
local.identifier.ariespublicationMigratedxPub2318
local.type.statusPublished Version
local.contributor.affiliationThorne, Jeremy, College of Engineering and Computer Science, ANU
local.contributor.affiliationMoore, John, College of Engineering and Computer Science, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.issue4
local.bibliographicCitation.startpage2461
local.bibliographicCitation.lastpage2472
local.identifier.doi10.1016/S0362-546X(01)00369-8
dc.date.updated2015-12-11T07:18:12Z
local.identifier.scopusID2-s2.0-0035420957
CollectionsANU Research Publications

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