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
fDate :
9/1/1994 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
