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Dey, Subhrakanti and Moore, John B. (1999) Finite-dimensional risk-sensitive filters and smoothers for discrete-time nonlinear systems. IEEE Transactions on Automatic Control, 44 (6). pp. 1234-1239. ISSN 0018-9286
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Abstract
Finite-dimensional optimal risk-sensitive filters and smoothers are obtained for discrete-time nonlinear systems by adjusting the standard exponential of a quadratic risk-sensitive cost index to one involving the plant nonlinearity. It is seen that these filters and smoothers are the same as those for a fictitious linear plant with the exponential of squared estimation error as the corresponding risk-sensitive cost index. Such finite-dimensional filters do not exist for nonlinear systems in the case of minimum variance filtering and control.
| Item Type: | Article |
|---|---|
| Keywords: | Finite-dimensional; information state; minimum variance control; minimum variance estimation; risk-sensitive estimation; smoothing; |
| Academic Unit: | Faculty of Science and Engineering > Electronic Engineering Faculty of Science and Engineering > Research Institutes > Hamilton Institute |
| Item ID: | 14406 |
| Identification Number: | 10.1109/9.769381 |
| Depositing User: | Subhrakanti Dey |
| Date Deposited: | 10 May 2021 14:33 |
| Journal or Publication Title: | IEEE Transactions on Automatic Control |
| Publisher: | IEEE |
| Refereed: | Yes |
| Related URLs: | |
| URI: | https://mu.eprints-hosting.org/id/eprint/14406 |
| Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
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