Finite-dimensional solutions of a modified Zakai equation

被引：2
|
作者：
Benes, VE [1 ]
Elliott, RJ [1 ]
机构：
[1] UNIV ALBERTA,DEPT MATH SCI,EDMONTON,AB T6G 2G1,CANADA
来源：
MATHEMATICS OF CONTROL SIGNALS AND SYSTEMS | 1996年 / 9卷 / 04期
关键词：
risk-sensitive control; Zakai equation; finite-dimensional filters;
D O I：
10.1007/BF01211855
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In risk-sensitive control a modified Zakai equation arises which includes an extra term related to the exponential running cost. We show that a wide class of finite-dimensional solutions related to the Benes filter is possible as long as nonlinearities in the drift are canceled in an appropriate way by terms in the running cost.
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页码：341 / 351
页数：11
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