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 | 2000 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/43287 | |
dc.description.abstract | In this paper, we consider the problem of risk-sensitive filtering for continuous-time stochastic linear Gaussian time-invariant systems. In particular, we address the problem of forgetting of initial conditions. Our results show that suboptimal risk-sensitive filters initialized with arbitrary Gaussian initial conditions asymptotically approach the optimal risk-sensitive filter for a linear Gaussian system with Gaussian but unknown initial conditions in the mean square sense at an exponential rate, provided the arbitrary initial covariance matrix results in a stabilizing solution of the (H∞-like) Riccati equation associated with the risk-sensitive problem. More importantly, in the case of non-Gaussian initial conditions, a suboptimal risk-sensitive filter asymptotically approaches the optimal risk-sensitive filter in the mean square sense under a boundedness condition satisfied by the fourth order absolute moment of the initial non-Gaussian density and a slow growth condition satisfied by a certain Radon-Nikodym derivative. © 2000 Elsevier Science B.V. All rights reserved. | en |
dc.source | Systems and Control Letters | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-0346707633&doi=10.1016%2fS0167-6911%2800%2900030-X&partnerID=40&md5=7f5da63810a267a074f8e33fdaf05b0c | |
dc.subject | Forgetting of initial conditions | en |
dc.subject | Mean square convergence | en |
dc.subject | Non-gaussian density | en |
dc.subject | Riccati equation | en |
dc.subject | Risk-sensitive filtering | en |
dc.title | On asymptotic stability of continuous-time risk-sensitive filters with respect to initial conditions | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1016/S0167-6911(00)00030-X | |
dc.description.volume | 41 | |
dc.description.issue | 1 | |
dc.description.startingpage | 9 | |
dc.description.endingpage | 18 | |
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 | Syst Control Lett | en |
dc.contributor.orcid | Charalambous, Charalambos D. [0000-0002-2168-0231] | |
dc.gnosis.orcid | 0000-0002-2168-0231 | |