Stochastic nonlinear minimax filtering in continuous-time

Author

Charalambous, C.D. ; Diouadi, S.M.

Author_Institution

Sch. of Inf. Technol. & Eng., Ottawa Univ., Ont., Canada

Volume

3

fYear

2001

fDate

2001

Firstpage

2520

Abstract

This paper discusses nonlinear stochastic minimax games in which the minimizing player is the state estimate while the maximizing players are square-integrable stochastic disturbances. A pathwise optimization method is considered, and an information state is introduced which is governed by a second-order Hamilton-Jacobi-Bellman (HJB) equation. The HJB equation is subsequently employed to characterize the dissipation properties of the estimator error with respect to the stochastic disturbances and to introduce a certainty equivalence estimator

Keywords

continuous time filters; equations; equivalence classes; errors; filtering theory; minimax techniques; nonlinear filters; nonlinear systems; state estimation; stochastic games; stochastic systems; 2nd-order Hamilton-JacobiBellman equation; certainty equivalence estimator; continuous-time stochastic nonlinear minimax filtering; estimator error dissipation properties; information state; maximizing players; minimizing player; nonlinear stochastic minimax games; pathwise optimization method; square-integrable stochastic disturbances; state estimate; Colored noise; Filtering; Filtration; Minimax techniques; Noise robustness; Nonlinear equations; State estimation; Stochastic processes; Stochastic resonance; White noise;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 2001. Proceedings of the 40th IEEE Conference on

Conference_Location

Orlando, FL

Print_ISBN

0-7803-7061-9

Type

conf

DOI

10.1109/.2001.980642

Filename

980642