Title :
Finite-dimensional risk-sensitive filters and smoothers for discrete-time nonlinear systems
Author :
Dey, Subhrakanti ; Moore, John B.
Author_Institution :
Dept. of Syst. Eng., Australian Nat. Univ., Canberra, ACT, Australia
fDate :
6/1/1999 12:00:00 AM
Abstract :
Finite-dimensional optimal risk-sensitive filters and smoothers are obtained for discrete-time nonlinear systems by adjusting the standard exponential of a quadratic risk-sensitive cost index to one involving the plant nonlinearity. It is seen that these filters and smoothers are the same as those for a fictitious linear plant with the exponential of squared estimation error as the corresponding risk-sensitive cost index. Such finite-dimensional filters do not exist for nonlinear systems in the case of minimum variance filtering and control
Keywords :
discrete time filters; filtering theory; multidimensional systems; nonlinear systems; optimisation; Finite-dimensional optimal risk-sensitive smoothers; discrete-time nonlinear systems; finite-dimensional optimal risk-sensitive filters; linear plant; minimum variance control; minimum variance filtering; plant nonlinearity; quadratic risk-sensitive cost index; squared estimation error; standard exponential; Automatic control; Control systems; Filters; Nonlinear systems; Poles and zeros; Polynomials; Robust control; Sampling methods; Taylor series; Transfer functions;
Journal_Title :
Automatic Control, IEEE Transactions on
