Title of article :
Risk sensitive and LEG filtering problems are not equivalent
Author/Authors :
Kleptsyna، نويسنده , , M.L. and Le Breton، نويسنده , , A. and Viot، نويسنده , , M.، نويسنده ,
Issue Information :
ماهنامه با شماره پیاپی سال 2010
Abstract :
Filtering problems with general exponential quadratic criteria are investigated for Gauss–Markov processes. In this setting, the linear exponential Gaussian and risk sensitive filtering problems are solved and it is shown that they may have different solutions.
Keywords :
Riccati equation , Gauss–Markov process , optimal filtering , Risk sensitive filtering , Exponential criteria
Journal title :
Systems and Control Letters
Journal title :
Systems and Control Letters
