NDLI: Optimal filtering and control for first degree polynomial systems: Risk-sensitive method

Content Provider	IEEE Xplore Digital Library
Author	Alcorta Garcia, M.A.
Copyright Year	2008
Abstract	The algorithms for the optimal filter and control have been obtained for systems with polynomial first degree drift term in the state and observations equations. Two cases are presented: systems with disturbances in $L^{2}$ and systems with Brownian motion and parameter epsiv multiplying both in the state and observation equations. The algorithms of the optimal risk-sensitive filter are obtained in each case and their performance is verified and compared with the algorithms of the optimal Kalman-Bucy filter through an example. The solution to the optimal control risk-sensitive problem for stochastic system, and log-exp-quadratic cost function to be minimized is obtained. This algorithms are obtained using value function as solution of PDE HJB. These algorithms are compared with the traditional control algorithms through numerical example. The optimal risk-sensitive filter and control show better performance for large values of the parameter epsiv.
Starting Page	4492
Ending Page	4497
File Size	286955
Page Count	6
File Format	PDF
ISBN	9781424420780
ISSN	07431619
DOI	10.1109/ACC.2008.4587203
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2008-06-11
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	American Automatic Control Council(AACC)
Subject Keyword	Optimal control Control systems Polynomials Filters Nonlinear equations Filtering algorithms Stochastic systems Stochastic resonance Noise level Regulators
Content Type	Text
Resource Type	Article
Subject	Electrical and Electronic Engineering

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