On the convergence of degenerate risk sensitive filters

DOI10.1016/J.SYSCONLE.2024.105732MaRDI QIDQ6540828zbMATH OpenFDO

Authors Mattia Zorzi, Shenglun Yi

Publication date 17 May 2024

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SYSCONLE.2024.105732

zbMATH Keywords

contraction mappingKalman filterRiccati equationrisk sensitive filtering

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Filtering in stochastic control theory (93E11)

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Cites work

• A contraction analysis of the convergence of risk-sensitive filters
• Adaptive risk-sensitive filter for Markovian jump linear systems
• Convergence analysis of a family of robust Kalman filters based on the contraction principle
• Data-Driven Ambiguity Sets With Probabilistic Guarantees for Dynamic Processes
• Distributed Kalman Filtering Under Model Uncertainty
• Event-triggered risk-sensitive smoothing for linear Gaussian systems
• scientific article; zbMATH DE number 48691 (Why is no real title available?)
• scientific article; zbMATH DE number 1226464 (Why is no real title available?)
• Kalman Filtering with Random Coefficients and Contractions
• On the robustness of the Bayes and Wiener estimators under model uncertainty
• Properties of risk-sensitive filters/estimators
• Risk sensitive filtering with randomly delayed measurements
• Robust estimation and control under commitment
• Robust event-triggered state estimation: a risk-sensitive approach
• Robust filtering for discrete-time systems with bounded noise and parametric uncertainty
• Robust finite horizon minimax filtering for discrete-time stochastic uncertain systems
• Robust fixed-lag smoothing under model perturbations
• Robust Kalman Filtering Under Model Perturbations
• Robust Kalman Filtering Under Model Uncertainty: The Case of Degenerate Densities
• Robust Least-Squares Estimation With a Relative Entropy Constraint
• Robust State Space Filtering Under Incremental Model Perturbations Subject to a Relative Entropy Tolerance
• Robustness and risk-sensitive filtering
• Stochastic Processes, Estimation, and Control
• The generalised discrete algebraic Riccati equation in linear-quadratic optimal control
• The generalized continuous algebraic Riccati equation and impulse-free continuous-time LQ optimal control
• The geometry of low-rank Kalman filters

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