Observation-Parameterised Risk-Sensitive State Estimation with Correlated Noise Processes
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Florchinger, P; Malcolm, William
Description
In this article we consider risk sensitive filtering and smoothing for a nonlinear scalar-valued dynamical system with correlated state and observer noise processes. The model we consider is an Itô diffusion state process observed through a Wiener proces
Collections | ANU Research Publications |
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Date published: | 2004 |
Type: | Conference paper |
URI: | http://hdl.handle.net/1885/80422 |
Source: | IEEE Conference on Decision and Control Proceedings 2004 |
DOI: | 10.1109/CDC.2004.1430361 |
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