Particle-method-based formulation of risk-sensitive filter

DOI10.1016/J.SIGPRO.2008.09.006MaRDI QIDQ2517849zbMATH OpenOpenAlexFDO

Authors Smita Sadhu, Shovan Bhaumik, Arnaud Doucet, T. K. Ghoshal

Publication date 9 January 2009

Published in Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sigpro.2008.09.006

zbMATH Keywords

non-Gaussiannonlinearparticle filtersrisk-sensitive filtersrobustness

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Recommendations

• Risk-sensitive filtering for nonlinear Markov jump systems on the basis of particle approximation
• Risk-sensitive filtering for jump Markov linear systems
• Risk-sensitive filtering and smoothing via reference probability methods
• Properties of risk-sensitive filters/estimators
• Robust limits of risk sensitive nonlinear filters

Cites work

• Properties of risk-sensitive filters/estimators
• Robustness and risk-sensitive filtering
• Sigma point Kalman filter for bearing only tracking
• Target tracking with bearings-only measurements

Cited in

(3)

• Risk sensitive filtering with randomly delayed measurements
• Risk-sensitive filtering for nonlinear Markov jump systems on the basis of particle approximation
• Robust ensemble Kalman filter based on exponential cost function

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