Stochastic Interpretation of Robust Estimation: Risk Sensitivity

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


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.


Probability Density Function Kalman Filter Estimation Problem Robust Estimation Input Disturbance 
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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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