On the convergence of degenerate risk sensitive filters

被引：1

作者：

Zorzi, Mattia ^{[1
]}

Yi, Shenglun ^{[1
]}

机构：

[1] Univ Padua, Dipartimento Ingn Informaz, via Gradenigo 6-B, I-35131 Padua, Italy

来源：

SYSTEMS & CONTROL LETTERS | 2024年 / 185卷

关键词：

Contraction mapping; Kalman filter; Riccati equation; Risk sensitive filtering; ALGEBRAIC RICCATI EQUATION; UNCERTAINTY; ROBUSTNESS;

D O I：

10.1016/j.sysconle.2024.105732

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We propose a degenerate risk sensitive filter which is an extension of the risk sensitive filtering paradigm to the case in which the evolution of the covariance matrix of the prediction error can be singular. We show that the corresponding risk sensitive Riccati iteration, describing the evolution of the covariance matrix of the prediction error, converges if the risk sensitivity parameter and the eigenvalues of the initial covariance matrix are sufficiently small.

引用

页数：7

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