• DocumentCode
    3743839
  • Title

    On the convergence of a risk sensitive like filter

  • Author

    Mattia Zorzi;Bernard C. Levy

  • Author_Institution
    Dipartimento di Ingegneria dell´Informazione, Università
  • fYear
    2015
  • Firstpage
    4990
  • Lastpage
    4995
  • Abstract
    In this paper, we analyze the convergence of a risk sensitive like filter where the risk sensitivity parameter is time varying. Such filter has a Kalman like structure and its gain matrix is updated according to a distorted version of the Riccati iteration. We show that the iteration converges to a fixed point by using the contraction analysis.
  • Keywords
    "Robustness","Sensitivity","Kalman filters","Convergence","Eigenvalues and eigenfunctions","Symmetric matrices"
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control (CDC), 2015 IEEE 54th Annual Conference on
  • Type

    conf

  • DOI
    10.1109/CDC.2015.7402999
  • Filename
    7402999
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3743839