BIMSA > Seminar on Control Theory and Nonlinear Filtering Kalman-Bucy filtering under uncertainty
Kalman-Bucy filtering under uncertainty
Organizer
Shing Toung Yau
Speaker
Jia Yi Kang
Time
Monday, April 17, 2023 2:30 PM - 3:30 PM
Venue
Online
Abstract
In this report, I shall introduce a generalized Kalman-Bucy filtering problem under uncertainty. The drift uncertainty for both signal process and observation process is considered and the attitude to uncertainty is characterized by a convex operator (convex risk measure). The optimal filter or the minimum mean square estimator (MMSE) is calculated by solving the minimum mean square estimation problem under a convex operator.