dc.contributor.author | Dey, S. | en |
dc.contributor.author | Charalambous, Charalambos D. | en |
dc.creator | Dey, S. | en |
dc.creator | Charalambous, Charalambos D. | en |
dc.date.accessioned | 2019-04-08T07:45:36Z | |
dc.date.available | 2019-04-08T07:45:36Z | |
dc.date.issued | 2001 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/43286 | |
dc.description.abstract | We study asymptotic stability properties of risk-sensitive filters with respect to their initial conditions. 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 risk-sensitive filter asymptotically converges to a suboptimal filter initialized with an incorrect covariance matrix for the initial state vector in the means square sense provided the incorrect initializing value for the covariance matrix results in a risk-sensitive filter that is asymptotically stable, that is, results in a solution for a Riccati equation that is asymptotically stabilizing. For non-Gaussian initial conditions. We derive the expression for the risk-sensitive filter in terms of a finite number of parameters. Under a boundedness assumption satisfied by the fourth order absolute moment of the initial state variable and a slow growth condition satisfied by a certain Radon-Nikodym derivative, we show that a suboptimal risk-sensitive filter initialized with Gaussian initial conditions asymptotically approaches the optimal risk-sensitive filter for non-Gaussian initial conditions in the mean square sense. Some examples are also given to substantiate our claims. | en |
dc.source | Asian Journal of Control | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-0035741553&partnerID=40&md5=f11086aaf4b160d4881f024492bf45b9 | |
dc.subject | Estimation | en |
dc.subject | Optimization | en |
dc.subject | Riccati equations | en |
dc.subject | Asymptotic stability | en |
dc.subject | Covariance matrix | en |
dc.subject | Gaussian noise (electronic) | en |
dc.subject | Risk sensitive filters | en |
dc.subject | Signal filtering and prediction | en |
dc.subject | Ergodic properties | en |
dc.subject | Non-gaussian | en |
dc.subject | Optimal filtering | en |
dc.subject | Radon nikodym derivative | en |
dc.subject | Risk-sensitive estimation | en |
dc.subject | State vector | en |
dc.title | Discrete-time risk-sensitive filters with on-Gaussian initial conditions and their ergodic properties | en |
dc.type | info:eu-repo/semantics/article | |
dc.description.volume | 3 | |
dc.description.issue | 4 | |
dc.description.startingpage | 262 | |
dc.description.endingpage | 271 | |
dc.author.faculty | Πολυτεχνική Σχολή / Faculty of Engineering | |
dc.author.department | Τμήμα Ηλεκτρολόγων Μηχανικών και Μηχανικών Υπολογιστών / Department of Electrical and Computer Engineering | |
dc.type.uhtype | Article | en |
dc.source.abbreviation | Asian J.Control | en |
dc.contributor.orcid | Charalambous, Charalambos D. [0000-0002-2168-0231] | |
dc.gnosis.orcid | 0000-0002-2168-0231 | |