Risk-sensitive filtering and smoothing for hidden Markov models

In this paper, we address the problem of risk-sensitive filtering and smoothing for discrete-time Hidden Markov Models (HMM) with finite-discrete states. The objective of risk-sensitive filtering is to minimise the expectation of the exponential of the squared estimation error weighted by a risk-sensitive parameter. We use the so-called Reference Probability Method in solving this problem. We achieve finite-dimensional linear recursions in the information state, and thereby the state estimate that minimises the risk-sensitive cost index. Also, fixed-interval smoothing results are derived. We show that L2 or risk-neutral filtering for HMMs can be extracted as a limiting case of the risk-sensitive filtering problem when the risk-sensitive parameter approaches zero

On-Line Identification of Hidden Markov Models via Recursive Prediction Error Techniques

In this paper an on-line state and parameter identification scheme for Hidden Markov Models (HMMs), with states in a finite-discrete set, is developed using Recursive Prediction Error (RPE) techniques. The parameters of interest are the transition probabilities and discrete state values of a Markov chain. The noise density associated with the observations can also be estimated. Implementation aspects of the proposed algorithms are discussed, and simulation studies are presented to show that the algorithms converge for a wide variety of initialisations. Also, an improved version of an earlier proposed scheme, the Recursive Kullback-Leibler (RKL) algorithm, is presented with a parameterisation that ensures positivity of transition probability estimates. I Introduction Hidden Markov models (HMMs) with states in a finite-discrete set have been widely applied in areas such as communication systems, speech processing and biological signal processing [1]. However a limitation of the popular o..

Remote maintenance of real time controller software over the internet

The aim of the work reported in this thesis is to investigate how to establish a standard platform for remote maintenance of controller software, which provides remote monitoring, remote fault identification and remote performance recovery services for geographically distributed controller software over the Internet. A Linear Quadratic Gaussian (LQG) controller is used as the benchmark for the control performance assessment; the LQG benchmark variances are estimated based on the Lyapunov equation and subspace matrices. The LQG controller is also utilized as the reference model of the actual controller to detect the controller failures. Discrepancies between control signals of the LQG and the actual controller are employed to a General Likelihood Ratio (GLR) test and the controller failure detection is characterized to detect sudden jumping points in the mean or variance of the discrepancies. To restore the degraded control performance caused by the controller failures, a compensator is designed and inserted into the post-fault control loop, which serially links with the faulty controller and recovers the degraded control performance into an acceptable range. Techniques of controller performance monitoring, controller failure detection and maintenance are extended into the Internet environment. An Internet-based maintenance system for controller software is developed, which provides remote control performance assessment and recovery services, and remote fault identification service over the Internet for the geographically distributed controller software. The integration between the mobile agent technology and the controller software maintenance is investigated. A mobile agent based controller software maintenance system is established; the mobile agent structure is designed to be flexible and the travelling agents can be remotely updated over the Internet. Also, the issue of heavy data process and transfer over the Internet is probed and a novel data process and transfer scheme is introduced. All the proposed techniques are tested on sirnulations or a process control unit. Simulation and experimental results illustrate the effectiveness of the proposed techniques.EThOS - Electronic Theses Online ServiceGBUnited Kingdo