DocumentCode
1303857
Title
Properties of risk-sensitive filters/estimators
Author
Banavar, R.N. ; Speyer, J.L.
Author_Institution
Dept. of Syst. & Control Eng., Indian Inst. of Technol., Bombay, India
Volume
145
Issue
1
fYear
1998
fDate
1/1/1998 12:00:00 AM
Firstpage
106
Lastpage
112
Abstract
Algorithms for risk-sensitive filters have been developed in literature and connections to H∞ filtering also established. The risk-sensitive filter differs from a conditional mean estimator (Kalman filter) and is either risk-prone or risk-averse depending on the sign of a scalar θ that appears in the cost function. The RS filter exhibits many interesting properties. Statistical properties, parameter estimation and explicit bounds of estimation for these filters are presented in the paper
Keywords
H∞ optimisation; Kalman filters; filtering theory; parameter estimation; statistical analysis; H∞ filtering; Kalman filter; RS filter; conditional mean estimator; explicit estimation bounds; parameter estimation; risk-averse filter; risk-prone filter; risk-sensitive filters/estimators; statistical properties;
fLanguage
English
Journal_Title
Control Theory and Applications, IEE Proceedings -
Publisher
iet
ISSN
1350-2379
Type
jour
DOI
10.1049/ip-cta:19981615
Filename
656136
Link To Document