Risk Sensitive Filtering with Poisson Process Observations
Malcolm, W Paul; James, Matthew; Elliott, Robert J
Description
In this paper we consider risk sensitive filtering for Poisson process observations. Risk sensitive filtering is a type of robust filtering which offers performance benefits in the presence of uncertainties. We derive a risk sensitive filter for a stochastic system where the signal variable had dynamics described by a diffusion equation and determines the rate function for an observation process. The filtering equations are stochastic integral equations. Computer simulations are presented to...[Show more]
Collections | ANU Research Publications |
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Date published: | 2000 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/89950 |
Source: | Applied Mathematics and Optimization |
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File | Description | Size | Format | Image |
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01_Malcolm_Risk_Sensitive_Filtering_with_2000.pdf | 138.88 kB | Adobe PDF | Request a copy |
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