Risk-sensitive filtering and smoothing for jump Markov non-linear systems based on unscented transform [Brief Paper]

This study is concerned with risk-sensitive filtering and smoothing for a class of discrete-time jump Markov non-linear systems. Using the so-called reference probability method, the authors present a general theoretical framework to yield recursions for deriving filtered and smoothed estimates through identifying the approximations made by the interacting multiple model (IMM) estimation approach. A suboptimal risk-sensitive filtering algorithm is developed by applying the unscented transform (UT) technique and the one-step fixed-lag smoothing result is also presented for such systems. The effectiveness of the proposed algorithms is demonstrated via a manoeuvering target tracking simulation study.