Robust Limits of Risk Sensitive Nonlinear Filters
作者： Wendell H. Fleming , William M. McEneaney
DOI: 10.1007/PL00009879
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摘要: Deterministic filter models are considered, and a criterion for deterministic to be robust is introduced. Among the candidates filters so-called minimax estimators. In second part of paper, risk sensitive stochastic approach nonlinear filtering in which traditional expected mean squared error replaced by an exponential-of-mean error. Minimax obtained as totally averse limits filters.
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