Risk-sensitive filtering and smoothing via reference probability methods
نویسندگان
چکیده
منابع مشابه
Risk-Sensitive Filtering and Smoothing via Reference Probability Methods
In this paper, we address the risk-sensitive filtering problem which is minimizing the expectation of the exponential of the squared estimation error multiplied by a risk-sensitive parameter. Such filtering can be more robust to plant and noise uncertainty than minimum error variance filtering. Although optimizing a differently formulated performance index to that of the so-called H1 filtering,...
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ژورنال
عنوان ژورنال: IEEE Transactions on Automatic Control
سال: 1997
ISSN: 0018-9286
DOI: 10.1109/9.649727