Risk Sensitive Filtering with Poisson Process Observations
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|
|Source:||Applied Mathematics and Optimization|
|01_Malcolm_Risk_Sensitive_Filtering_with_2000.pdf||138.88 kB||Adobe PDF||Request a copy|
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