• DocumentCode
    1164831
  • Title

    Risk-sensitive estimation and a differential game

  • Author

    Banavar, Ravi N. ; Speyer, Jason L.

  • Author_Institution
    Dept. of Syst. & Control Eng., Indian Inst. of Technol., Bombay, India
  • Volume
    39
  • Issue
    9
  • fYear
    1994
  • fDate
    9/1/1994 12:00:00 AM
  • Firstpage
    1914
  • Lastpage
    1918
  • Abstract
    A large deviation result is employed to solve the state estimation problem of a continuous time Gauss-Markov system with an exponential cost. The exponential cost is the expected value of an exponential function of the state estimation-error. A scalar θ appearing in the cost, termed as the risk factor, determines the penalty on the higher order moments of the error. In contrast to the minimum variance estimate, penalty on large deviations of the estimation error is possible
  • Keywords
    state estimation; continuous time Gauss-Markov system; differential game; estimation error; exponential function; risk-sensitive estimation; state estimation problem; state estimation-error; Control systems; Cost function; Differential equations; Lyapunov method; Mechanical variables control; Nonlinear equations; Nonlinear systems; Pulse width modulation; Sliding mode control; State estimation;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/9.317123
  • Filename
    317123
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1164831