hidden markov models estimation and control

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1、StochasticMechanicsApplicationsofRandomMediaMathematicsSignalProcessingStochasticModellingandImageSynthesisandAppliedProbabilityMathematicalEconomicsStochasticOptimization29StochasticControlEditedbyI.KaratzasM.YorAdvisoryBoardP.BremaudE.CarlenR.DobrushinW.FlemingD.GemanG.Grimm

2、ettG.PapanicolaouJ.ScheinkmanRobertJ.ElliottLakhdarAggounJohnB.MooreHiddenMarkovModelsEstimationandControlRobertJ.ElliottJohnB.MooreDepartmentofMathematicalSciencesDepartmentofSystemsEngineeringUniversityofAlbertaAustralianNationalUniversityEdmonton,Alberta,CanadaT6G2G1Canberra

3、,ACT0200,AustraliaLakhdarAggounDepartmentofStatisticsUniversityofAucklandAuckland,NewZealandManagingEditorsI.KaratzasM.YorDepartmentofStatisticsCNRS,LaboratoiredeProbabilitesColumbiaUniversityUniversitePierreetMarieCurieNewYork,NY10027,USA4PlaceJussieu,Tour5675252ParisCedex05

4、,FranceMathematicsSubjectClassications(1991):02/50,02/65,06/05,06/53LibraryofCongressCataloging-in-PublicationDataElliott,RobertJames.HiddenMarkovmodels:estimationandcontrol/RobertJ.Elliott,LakhdarAggoun,JohnB.Moore.p.cm.

5、(Applicationsofmathematics;vol.29)Includesbibliographic

6、alreferencesandindexes.ISBN0-387-94364-11.Markovprocesses.I.Aggoun,Lakhdar.II.Moore,JohnB.(JohnBarratt),1941{.III.Title.IV.Series:Applicationsofmathematics;29.QA274.7.E4519940519.233{dc2094-28643Printedonacid-freepaper.c1995Springer-VerlagNewYork,Inc.Allrightsreserved.Thisworkm

7、aynotbetranslatedorcopiedinwholeorinpartwithoutthewrittenpermissionofthepublisher(Springer-VerlagNewYork,Inc.,175FifthAvenue,NewYork,NY10010,USA),exceptforbriefexcerptsinconnectionwithreviewsorscholarlyanalysis.Useinconnectionwithanyformofinformationstorageandretrieval,electron

8、icadap-tation,computersoftware,orbysimilarordissimilarmethodologynowknownorhereafterdevelopedisforbidden.Theuseofgeneraldescriptivenames,tradenames,trademarks,etc.,inthispublication,eveniftheformerarenotespeciallyidentied,isnottobetakenasasignthatsuchnames,asunderstoodbytheTra

9、deMarksandMerchandiseMarksAct,mayaccordinglybeusedfree