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:	https://doi.org/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
URI:	Publisher
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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