Robust limits of risk sensitive nonlinear filters

DOI10.1007/PL00009879MaRDI QIDQ5943904zbMATH OpenFDO

Authors Wendell Fleming, William M. Mceneaney

Publication date 17 October 2002

Published in MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/PL00009879

zbMATH Keywords

\(H_\infty\) filteringHamilton-Jacobi-Bellman equationsminimax filternonlinear filtersrisk sensitive filterrobust filterviscosity solution

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Nonlinear systems in control theory (93C10) Filtering in stochastic control theory (93E11)

Review text

This paper deals with deterministic and stochastic (risk sensitive) nonlinear filters. In the first part, the following deterministic filter model is considered: state equation, \(\dot x_t=f(x_t)+ \sigma(x_t) w_t\), and (accumulated) observation, \(\dot y_t=h(x_t)+v_t\), where \(w_t\) and \(v_t\) are deterministic disturbances. Applying the mean square disturbance error criterion, the authors formulate a robust filter with level \(\mu\) and study the minimax filter, which turns out to be robust for an appropriate range of \(\mu\). In the second part, the following stochastic model is treated: state equation, \(dX_t=f(X_t)dt+\sqrt \varepsilon \sigma (X_t)dB_t\), and observation, \(dY_t=h(X_t)dt +\sqrt\varepsilon d\overline B_t\), where \(B\) and \(\overline B\) are independent Brownian motions. The authors consider the risk sensitive filter for \(X_T\), which minimizes the exponential criterion, \(E\exp({\mu \over\varepsilon} |X_T-e_T|^2)\), by choosing suitable \(\{Y_s,s\leq T\}\) measurable \(e_T\), and show that a risk sensitive filter tends to the minimax filter of the first part as \(\varepsilon \to 0\).

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Cited in

(17)

• On asymptotic stability of continuous-time risk-sensitive filters with respect to initial conditions
• Sliding mode filtering for stochastic systems with polynomial state and observation equations
• Particle-method-based formulation of risk-sensitive filter
• Risk sensitive identification of linear stochastic systems
• Deterministic and stochastic approaches to nonlinear filtering
• A contraction analysis of the convergence of risk-sensitive filters
• Approximate finite-dimensional filtering for polynomial states over polynomial observations
• scientific article; zbMATH DE number 1147077 (Why is no real title available?)
• Properties of risk-sensitive filters/estimators
• New finite-dimensional risk-sensitive filters: small noise limits
• Finite-dimensional risk-sensitive filters and smoothers for discrete-time nonlinear systems
• scientific article; zbMATH DE number 1766614 (Why is no real title available?)
• On the convergence of degenerate risk sensitive filters
• \textit{Continuous} discrete cubature quadrature Kalman filter
• Risk sensitive and LEG filtering problems are not equivalent
• Central suboptimal \(H_\infty\) filter design for linear time-varying systems with state or measurement delay
• Sensitivity limitations for multivariable linear filtering

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