北京雁栖湖应用数学研究院 北京雁栖湖应用数学研究院

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清华大学 "求真书院"
清华大学丘成桐数学科学中心
清华三亚国际数学论坛
上海数学与交叉学科研究院
BIMSA > 控制理论和非线性滤波讨论班 Risk Sensitive Filtering with Randomly Delayed Measurements
Risk Sensitive Filtering with Randomly Delayed Measurements
组织者
丘成栋
演讲者
陶飏天择
时间
2023年09月29日 20:00 至 20:30
地点
Online
摘要
Conventional Bayesian estimation requires an accurate stochastic model of a system. However, this requirement is not always met in many practical cases where the system is not completely known or may differ from the assumed model. For such a system, we consider a scenario where the measurements are transmitted to a remote location using a common communication network and due to which, a delay is introduced while receiving the measurements. The delay that we consider here is random and one step maximum at a given time instant. For such a scenario, this paper develops a robust estimator for a linear Gaussian system by minimizing the risk sensitive error criterion that is defined as an expectation of the accumulated exponential quadratic error. The criteria for the stability of the risk sensitive Kalman filter (RSKF) are derived and the results are used to study the stability of the developed filter. Further, it is assumed that the latency probability related to delay is not known and it is estimated by maximizing the likelihood function. Simulation results suggest that the proposed filter shows acceptable performance under the nominal conditions, and it performs better than the Kalman filter for randomly delayed measurements and the RSKF in presence of both the model uncertainty and random delays.
北京雁栖湖应用数学研究院
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