Risk-sensitive formulation of unscented Kalman filter

@inproceedings{Bhaumik2009RisksensitiveFO,
  title={Risk-sensitive formulation of unscented Kalman filter},
  author={Shovan Bhaumik and Sanjib Sadhu and Tapan Kumar Ghoshal},
  year={2009}
}
A novel method for non-linear risk-sensitive estimation based on the unscented transform has been developed. The proposed filter, referred to as risk-sensitive unscented Kalman filter (RSUKF), and would be able to overcome inherent disadvantages associated with the earlier reported extended risk-sensitive filter (ERSF). The theory and formulation of RSUKF… CONTINUE READING