Finite-dimensional risk-sensitive filters and smoothers for discrete-time nonlinear systems

被引：8

作者：

Dey, S ^{[1
]}

Moore, JB ^{[1
]}

机构：

[1] Australian Natl Univ, Sch Informat Sci & Engn, Dept Syst Engn Res, Canberra, ACT 0200, Australia

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1999年 / 44卷 / 06期

关键词：

finite-dimensional; information state; minimum variance control; minimum variance estimation; risk-sensitive estimation; smoothing;

D O I：

10.1109/9.769381

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Finite-dimensional optimal risk-sensitive filters and smoothers are obtained for discrete-time nonlinear systems by adjusting the standard exponential of a quadratic risk sensitive cost index to one involving the plant nonlinearity, It is seen that these filters and smoothers are the same as those for a fictitious linear plant with the exponential of squared estimation error as the corresponding risk-sensitive cost index. Such finite-dimensional filters do not exist for nonlinear systems in the case of minimum variance filtering and control.

引用

页码：1234 / 1239

页数：6

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