Title :
Risk sensitive filtering with continuous time observations
Author :
Malcolm, W.P. ; Elliott, R.J. ; James, M.R.
Author_Institution :
Defense Sci. & Technol. Org., Salisbury, SA, Australia
Abstract :
We consider risk sensitive filtering for a Markov signal which is observed through a Brownian motion, and a Poisson process. Risk sensitive filters for the robust estimation of the signal process are given. These filters are stochastic partial differential equations for which robust discretizations are obtained. Computer simulations are given which demonstrate the benefits of risk sensitive filtering
Keywords :
continuous time systems; estimation theory; filtering theory; partial differential equations; stochastic processes; Brownian motion; Markov signal; Poisson process; computer simulations; continuous time observations; risk sensitive filtering; risk sensitive filters; robust discretizations; robust estimation; signal process; stochastic partial differential equations; Computer simulation; Filtering; Filters; Markov processes; Mathematics; Partial differential equations; Robustness; Signal processing; State-space methods; Stochastic processes;
Conference_Titel :
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-5250-5
DOI :
10.1109/CDC.1999.832765
