• DocumentCode
    2852120
  • Title

    Risk sensitive and robust nonlinear filtering

  • Author

    Fleming, Wendell H. ; McEneaney, William M.

  • Author_Institution
    Div. of Appl. Math., Brown Univ., Providence, RI, USA
  • Volume
    2
  • fYear
    1997
  • fDate
    10-12 Dec 1997
  • Firstpage
    1088
  • Abstract
    A risk sensitive approach to nonlinear filtering is considered. In this case, the traditional expected mean squared error is replaced by an expected exponential-of-mean squared error. A pathwise filtering equation is used to take the risk averse limit. This leads to a robust filtering estimator. The robust estimator yields a bound on the estimate error in terms of (finite) disturbance energy
  • Keywords
    filtering theory; least mean squares methods; nonlinear filters; state estimation; expected exponential-of-mean squared error; finite disturbance energy; pathwise filtering equation; risk averse limit; risk sensitive nonlinear filtering; robust filtering estimator; robust nonlinear filtering; Error correction; Filtering; Filters; Noise robustness; Nonlinear equations; Robust control; State estimation; Stochastic resonance; White noise; Yield estimation;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
  • Conference_Location
    San Diego, CA
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-4187-2
  • Type

    conf

  • DOI
    10.1109/CDC.1997.657591
  • Filename
    657591
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2852120