Risk sensitive and robust nonlinear filtering

被引：0

作者：

Fleming, WH ^{[1
]}

McEneaney, WM ^{[1
]}

机构：

[1] Brown Univ, Div Appl Math, Providence, RI 02912 USA

来源：

PROCEEDINGS OF THE 36TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-5 | 1997年

关键词：

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

A risk sensitive approach to nonlinear filtering is considered. In this case, the traditional expected mean squared error is replaced by an expected exponential-of-mean squared error. A pathwise filtering equation is used to take the risk averse limit. This leads to a robust filtering estimator. The robust estimator yields a bound on the estimate error in terms of (finite) disturbance energy.

引用

页码：1088 / 1093

页数：6

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