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
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;
Conference_Titel :
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4187-2
DOI :
10.1109/CDC.1997.657591
