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Risk-sensitive optimal control of hidden Markov models: Structural results. (English) Zbl 0891.93087

This paper deals with risk-sensitive optimal control problems for hidden Markov models. Using information states, the authors investigated the structure of the optimal controller and showed that an optimal risk-sensitive controller and its corresponding information state converge to the known solution for the risk-neutral solution as the risk factor goes to \(0\).
Reviewer: M.Nisio (Osaka)

MSC:

93E20 Optimal stochastic control