NEW FINITE-DIMENSIONAL RISK-SENSITIVE FILTERS - SMALL NOISE LIMITS

Authors
CHARALAMBOUS CD DEY S ELLIOTT RJ
Citation
Cd. Charalambous et al., NEW FINITE-DIMENSIONAL RISK-SENSITIVE FILTERS - SMALL NOISE LIMITS, IEEE transactions on automatic control, 43(10), 1998, pp. 1424-1429
Citations number
16
Categorie Soggetti
Robotics & Automatic Control","Robotics & Automatic Control","Engineering, Eletrical & Electronic
Journal title
IEEE transactions on automatic control → ACNP
ISSN journal
00189286
Volume
43
Issue
10
Year of publication
1998
Pages
1424 - 1429
Database
ISI
SICI code
0018-9286(1998)43:10<1424:NFRF-S>2.0.ZU;2-W
Abstract
This paper is concerned with continuous-time nonlinear risk-sensitive filters. It is shown that for large classes of nonlinearities entering both the dynamics and measurements, these filters are finite-dimensio nal generalizations of the Benes filters. Specific examples are discus sed. The small noise limiting analog is discussed using change of prob ability measures.