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Observation-Parameterised Risk-Sensitive State Estimation with Correlated Noise Processes

Date

Authors

Florchinger, P

Malcolm, William

Publisher

Institute of Electrical and Electronics Engineers (IEEE Inc)

Abstract

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

Keywords

Keywords: Risk Sensitive Filtering; Smoothing; Stochastic flows; Stochastic Integral Equations; The Cauchy problem; Differential equations; Integral equations; Mathematical transformations; Nonlinear control systems; Parameter estimation; Probability; Random proces Filtering; Risk Sensitive Filtering; Smoothing; Stochastic Flows; Stochastic Integral Equations; The Cauchy Problem

URI

http://hdl.handle.net/1885/80422

Collections

ANU Research Publications

Source

IEEE Conference on Decision and Control Proceedings 2004

Type

Conference paper

DOI

10.1109/CDC.2004.1430361

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