A robust Kalman-Bucy filtering problem
文献类型：期刊论文
| 作者 | Ji, Shaolin1; Kong, Chuiliu1,2,3,4; Sun, Chuanfeng5 |
| 刊名 | AUTOMATICA
 |
| 出版日期 | 2020-12-01 |
| 卷号 | 122页码:6 |
| 关键词 | Kalman-Bucy filters Model uncertainty Robust estimation Minimum mean square estimator Minimax theorem Sublinear operator |
| ISSN号 | 0005-1098 |
| DOI | 10.1016/j.automatica.2020.109252 |
| 英文摘要 | A generalized Kalman-Bucy model under model uncertainty and a corresponding robust problem are studied in this paper. We find that this robust problem is equivalent to an estimated problem under a sublinear operator. By Girsanov transformation and the minimax theorem, we prove that this problem can be reformulated as a classical Kalman-Bucy filtering problem under a new probability measure. The equation which governs the optimal estimator is obtained. Moreover, the optimal estimator can be decomposed into the classical optimal estimator and a term related to the model uncertainty parameter under some condition. (c) 2020 Elsevier Ltd. All rights reserved. |
| 资助项目 | National Key R&D Program of China[2018YFA0703900] ; National Natural Science Foundation of China[11701214] ; Natural Science Foundation of Shandong Province, China[ZR2017BA032] |
| WOS研究方向 | Automation & Control Systems ; Engineering |
| 语种 | 英语 |
| WOS记录号 | WOS:000598166900027 |
| 出版者 | PERGAMON-ELSEVIER SCIENCE LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/57858]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Kong, Chuiliu |
| 作者单位 | 1.Shandong Univ, Zhongtai Secur Inst Financial Studies, Jinan 250100, Peoples R China 2.Chinese Acad Sci, Key Lab Syst & Control, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100149, Peoples R China 4.Shandong Univ, Zhongtai Secur Inst Financial Studies, Jinan 250100, Peoples R China 5.Jinan Univ, Sch Math Sci, Jinan 250022, Peoples R China |
| 推荐引用方式 GB/T 7714 | Ji, Shaolin,Kong, Chuiliu,Sun, Chuanfeng. A robust Kalman-Bucy filtering problem[J]. AUTOMATICA,2020,122:6. |
| APA | Ji, Shaolin,Kong, Chuiliu,&Sun, Chuanfeng.(2020).A robust Kalman-Bucy filtering problem.AUTOMATICA,122,6. |
| MLA | Ji, Shaolin,et al."A robust Kalman-Bucy filtering problem".AUTOMATICA 122(2020):6. |
入库方式： OAI收割
来源：数学与系统科学研究院
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