Risk sensitive filtering with counting process observations

被引：0

作者：

Malcolm, WP ^{[1
]}

James, MR ^{[1
]}

Elliott, RJ ^{[1
]}

机构：

[1] Def Sci & Technol Org, Salisbury, SA 5108, Australia

来源：

PROCEEDINGS OF THE 37TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-4 | 1998年

关键词：

point processes; risk sensitive; robustness; filtering; change of measure; martingale calculus;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper we consider risk sensitive filtering for counting pro cess observations. Risk sensitive filtering is a type of robust filtering which offers performance benefits in the presence of uncertainties. We derive a risk sensitive filter for a stochastic system where the signal variable has dynamics described by a diffusion equation and determines the rate function for an observed counting process. The filtering equations are stochastic partial differential equations. Computer simulations are presented to demonstrate the performance gain for the risk sensitive filter compared to the risk neutral filter.

引用

页码：2300 / 2304

页数：5

共 50 条

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