On the convergence of a Risk Sensitive like Filter

2015/03/25 by Mattia Zorzi, Zorzi, Mattia, Bernard C. Levy +1 · 1 citation
Mathematics · #FOS: Mathematics #Optimization and Control (math.OC) #math.OC

paper · pdf · doi:10.48550/arxiv.1503.07336

arxiv created 2015/09/26 · arxiv updated 2015/09/29

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.

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