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• W2071855385 abstract "In this paper, a risk-sensitive multiple-model filtering algorithm is derived using the reference probability methods. First, the approximation of the interacting multiple-model (IMM) algorithm is identified in the reference probability domain. Then, the same type of approximation is used to derive the finite-dimensional risk-sensitive filtering algorithm. The derived algorithm reduces to the IMM filter when the risk-sensitive parameter goes to zero and reduces to the risk-sensitive filter for linear Gauss–Markov systems when the number of models is unity. The algorithm performs better in a simulated uncertain parameter scenario than the IMM filter." @default.
• W2071855385 created "2016-06-24" @default.
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• W2071855385 date "2008-01-01" @default.
• W2071855385 modified "2023-09-27" @default.
• W2071855385 title "Risk-sensitive filtering for jump Markov linear systems" @default.
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• W2071855385 doi "https://doi.org/10.1016/j.automatica.2007.04.018" @default.
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