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math.OC2017★ 12 cited
A Modularized Efficient Framework for Non-Markov Time Series Estimation
Gabriel Schamberg, Demba Ba, Todd P. Coleman
We present a compartmentalized approach to finding the maximum a-posteriori (MAP) estimate of a latent time series that obeys a dynamic stochastic model and is observed through noi…
math.OC2013
An Optimizer's Approach to Stochastic Control Problems with Nonclassical Information Structures
Ankur A. Kulkarni, Todd P. Coleman
We present an optimization-based approach to stochastic control problems with nonclassical information structures. We cast these problems equivalently as optimization prob- lems on…