Kalman-Bucy filtering under uncertainty
组织者
演讲者
时间
2023年04月17日 14:30 至 15:30
地点
Online
摘要
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.