On the convergence of a Risk Sensitive like Filter
Optimization and Control
2015-09-29 v2
Abstract
In this paper, we analyze the convergence of a risk sensitive like filter where the risk sensitivity parameter is time varying. Such filter has a Kalman like structure and its gain matrix is updated according to a Riccati like iteration. We show that the iteration converges to a fixed point by using the contraction analysis.
Keywords
Cite
@article{arxiv.1503.07336,
title = {On the convergence of a Risk Sensitive like Filter},
author = {Mattia Zorzi and Bernard C. Levy},
journal= {arXiv preprint arXiv:1503.07336},
year = {2015}
}