Fernández-Gaucherand, Emmanuel; Marcus, Steven I. Risk-sensitive optimal control of hidden Markov models: Structural results. (English) Zbl 0891.93087 IEEE Trans. Autom. Control 42, No. 10, 1418-1422 (1997). 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) Cited in 4 Documents MSC: 93E20 Optimal stochastic control Keywords:optimal stochastic control; risk-sensitive optimal control; hidden Markov models; information state PDF BibTeX XML Cite \textit{E. Fernández-Gaucherand} and \textit{S. I. Marcus}, IEEE Trans. Autom. Control 42, No. 10, 1418--1422 (1997; Zbl 0891.93087) Full Text: DOI Link OpenURL