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Properties of risk-sensitive filters/estimators

DSpace at IIT Bombay

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Field Value
 
Title Properties of risk-sensitive filters/estimators
 
Creator BANAVAR, RN
SPEYER, JL
 
Subject integral performance index
stochastic-systems
risk-sensitive filters
algorithms
optimal filter
 
Description Algorithms for risk-sensitive filters have been developed in literature and connections to H-infinity filtering also established. The risk-sensitive filter differs from a conditional mean estimator (Kalman filter) and is either risk-prone or risk-averse depending on the sign of a scalar theta that appears in the cost function. The RS filter exhibits many interesting properties, Statistical properties, parameter estimation and explicit bounds of estimation for these filters are presented in the paper.
 
Publisher IEE-INST ELEC ENG
 
Date 2011-07-31T11:33:56Z
2011-12-26T12:52:59Z
2011-12-27T05:40:02Z
2011-07-31T11:33:56Z
2011-12-26T12:52:59Z
2011-12-27T05:40:02Z
1998
 
Type Article
 
Identifier IEE PROCEEDINGS-CONTROL THEORY AND APPLICATIONS, 145(1), 106-112
1350-2379
http://dx.doi.org/10.1049/ip-cta:19981615
http://dspace.library.iitb.ac.in/xmlui/handle/10054/8102
http://hdl.handle.net/10054/8102
 
Language en