Optimal Risk-Sensitive Filtering for System Stochastic of Second and Third Degree

• 作者: Ma Aracelia Alcorta-Garcia Mauricio Torres Torres Sonia Gpe Anguiano Rostro
• 来源期刊: 智能控制与自动化(英文)
• 学科: 数学
• 关键词: OPTIMAL Nonlinear FILTERING Risk-Sensitive FILTERING Extended Kalman-Bucy FILTERING
• 年，卷（期）: 2011,（1）
• 页码范围: 47-56
• 页数: 10页
• 分类号: O1

摘要

The risk-sensitive filtering design problem with respect to the exponential mean-square cost criterion is con-sidered for stochastic Gaussian systems with polynomial of second and third degree drift terms and intensity parameters multiplying diffusion terms in the state and observations equations. The closed-form optimal fil-tering equations are obtained using quadratic value functions as solutions to the corresponding Focker- Plank-Kolmogorov equation. The performance of the obtained risk-sensitive filtering equations for stochastic polynomial systems of second and third degree is verified in a numerical example against the optimal po-lynomial filtering equations (and extended Kalman-Bucy for system polynomial of second degree), through comparing the exponential mean-square cost criterion values. The simulation results reveal strong advan-tages in favor of the designed risk-sensitive equations for some values of the intensity parameters.