Observation-Parameterised Risk-Sensitive State Estimation with Correlated Noise Processes
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|
|Source:||IEEE Conference on Decision and Control Proceedings 2004|
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