A robust Kalman-Bucy filtering problem

doi:10.1016/j.automatica.2020.109252

CSpace

	A robust Kalman-Bucy filtering problem
	Ji, Shaolin 1; Kong, Chuiliu 1,2,3,4; Sun, Chuanfeng 5
	2020-12-01
发表期刊	AUTOMATICA
ISSN	0005-1098
卷号	122 页码:6
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.
关键词	Kalman-Bucy filters Model uncertainty Robust estimation Minimum mean square estimator Minimax theorem Sublinear operator
DOI	10.1016/j.automatica.2020.109252
收录类别	SCI
语种	英语
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
WOS类目	Automation & Control Systems ; Engineering, Electrical & Electronic
WOS记录号	WOS:000598166900027
出版者	PERGAMON-ELSEVIER SCIENCE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/57859
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.