Maximum Likelihood Estimation of Discrete Control Processes

DOI10.1137/0326056zbMath0671.93060OpenAlexW1984454144WikidataQ56813300 ScholiaQ56813300MaRDI QIDQ3824209

John Rust

Publication date: 1988

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/292600/files/uwmad-0020.PDF

zbMATH Keywords

statistical inferenceBellman's principle of optimalityNewton-Kantorovich algorithmdiscrete control processesunobserved state variablesasymptotic Gaussian distributioninternally consistent statistical modelinverse stochastic controlnested fixed-point maximum likelihood algorithm

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Numerical solutions to equations with nonlinear operators (65J15)

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