Risk Sensitive Fir Filters for Stochastic Discrete-time State Space Models

@inproceedings{Han2011RiskSF,
  title={Risk Sensitive Fir Filters for Stochastic Discrete-time State Space Models},
  author={Soohee Han},
  year={2011}
}
In this paper, the finite impulse response (FIR) filter based on an exponential quadratic cost function is proposed for a stochastic discrete-time state space model. The joint probability density function of the current state and the external noises on the recent finite horizon is introduced and the corresponding expected value of the exponential quadratic cost function is minimized with respect to the current state. According to the sign of the scalar real parameter in the cost function, we… CONTINUE READING

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