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Stochastic Interpretation of Robust Estimation: Risk Sensitivity

  • Rami S. Mangoubi
Part of the Advances in Industrial Control book series (AIC)

Abstract

The game theoretic robust estimation problem defined in Chapter 3 is a deterministic one. That is, all the input disturbances have deterministic bounds. Nevertheless, as was mentioned in Chapters 2 and 3, this class of problems is closely related to a class of stochastic estimation problems, namely, risk sensitive optimal estimation [99], [111], [112]. In risk sensitive estimation, the noise is assumed to be white, Gaussian, and the cost criterion is the expected value of the exponential of a weighted sum of the squared state estimation errors.

Keywords

Probability Density Function Kalman Filter Estimation Problem Robust Estimation Input Disturbance 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag London Limited 1998

Authors and Affiliations

  • Rami S. Mangoubi
    • 1
  1. 1.Draper LaboratoriesCambridgeUSA

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