Robust State Space Filtering Under Incremental Model Perturbations Subject to a Relative Entropy Tolerance
نویسندگان
چکیده
منابع مشابه
Robust State Space Filtering with an Incremental Relative Entropy Tolerance
This paper considers robust filtering for a nominal Gaussian state-space model, when an incremental relative entropy tolerance is applied to each dynamical model component. The problem is formulated as a dynamic minimax game which is shown to admit a saddle point. The structure of the saddle point is characterized by applying and extending results presented earlier in [1] for static least-squar...
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ژورنال
عنوان ژورنال: IEEE Transactions on Automatic Control
سال: 2013
ISSN: 0018-9286,1558-2523
DOI: 10.1109/tac.2012.2219952