A Contraction Analysis of the Convergence of Risk-Sensitive Filters

DOI10.1137/15M1043030zbMath1346.60055arXiv1305.1268MaRDI QIDQ2818216

Mattia Zorzi, Bernard C. Levy

Publication date: 6 September 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.1268

zbMATH Keywords

Kalman filterRiccati equationpartial ordercontraction mappingThompson's part metricblock updaterisk-sensitive filteringpositive definite matrix cone

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Sensitivity (robustness) (93B35) Signal detection and filtering (aspects of stochastic processes) (60G35)

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