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Risk-sensitive filter for linear discrete-time systems with multiple time-delay measurements

机译:具有多个时滞测量的线性离散时间系统的风险敏感型滤波器

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摘要

The risk-sensitive filtering problem is considered for linear discrete-time systems with time-delay measurement processes which are described by l + 1 channels. The problem can be converted into an optimization problem with quadratic form. By introducing an auxiliary state-space model, we can use indefinite space approach to solve the optimization problem and design risk-sensitive filter with the help of the innovation analysis. Furthermore, the necessary and sufficient conditions of existence for the risk-sensitive filter will be given when the risk-sensitive parameter is negative. (The risk-sensitive filter always exists when the risk-sensitive parameter is positive.)
机译:对于具有时间延迟测量过程的线性离散时间系统(由l +1通道描述),考虑了风险敏感的滤波问题。该问题可以转换为具有二次形式的优化问题。通过引入辅助状态空间模型,我们可以使用不确定空间方法来解决优化问题,并在创新分析的帮助下设计风险敏感型过滤器。此外,当风险敏感参数为负时,将给出风险敏感过滤器存在的充要条件。 (当风险敏感参数为正时,风险敏感过滤器始终存在。)

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