DocumentCode
2877624
Title
New finite-dimensional risk-sensitive filters: small-noise limits
Author
Charalambous, Charalambos D. ; Dey, Subhrakanti ; Elliott, Robert J.
Author_Institution
Dept. of Electr. Eng., McGill Univ., Montreal, Que., Canada
Volume
5
fYear
1997
fDate
4-6 Jun 1997
Firstpage
2830
Abstract
This paper is concerned with continuous-time nonlinear risk-sensitive filters. It is shown that for large classes of nonlinearities entering both the dynamics and measurements, these filters are finite-dimensional, generalizations of the Benes filters. Examples are given for rational and exponential nonlinearities. The small-noise limiting analog is discussed
Keywords
estimation theory; filtering theory; minimax techniques; nonlinear filters; Benes filters; continuous-time filters; exponential nonlinearities; finite-dimensional filters; nonlinear filters; nonlinearities; rational nonlinearities; risk-sensitive filters; small-noise limits; Electronic mail; Estimation error; Filters; Hidden Markov models; Minimax techniques; Nonlinear equations; Optimal control; Stochastic systems; Systems engineering and theory; Uncertainty;
fLanguage
English
Publisher
ieee
Conference_Titel
American Control Conference, 1997. Proceedings of the 1997
Conference_Location
Albuquerque, NM
ISSN
0743-1619
Print_ISBN
0-7803-3832-4
Type
conf
DOI
10.1109/ACC.1997.611972
Filename
611972
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