Particle-method-based formulation of risk-sensitive filter
A novel particle implementation of risk-sensitive filters (RSF) for nonlinear, non-Gaussian state-space models is presented. Though the formulation of RSFs and its properties like robustness in the presence of parametric uncertainties are known for sometime, closed-form expressions for such filters...
| Main Authors: | , , , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
2009
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