Discrete-Time Risk-Sensitive Filters with Non-Gaussian Initial Conditions and their Ergodic Properties

@inproceedings{Charalambous1998DiscreteTimeRF,
  title={Discrete-Time Risk-Sensitive Filters with Non-Gaussian Initial Conditions and their Ergodic Properties},
  author={Charalambos D. Charalambous},
  year={1998}
}
In this paper, we study asymptotic stability properties of risk-sensitive filters with respect to their initial conditions. In particular, we consider a linear time-invariant systems with initial conditions that are not necessarily Gaussian. We show that in the case of Gaussian initial conditions, the optimal risksensitive filter asymptotically converges to any suboptimal filter initialized with an incorrect covariance matrix for the initial state vector in the mean square sense provided the… CONTINUE READING
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