Risk averse deterministic Kalman filters for uncertain dynamical systems
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| Accesso online: | |
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| _version_ | 1866914158581121024 |
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| author | Kunisch, Karl Schröder, Jesper |
| author_facet | Kunisch, Karl Schröder, Jesper |
| contents | Taking a deterministic viewpoint this work investigates extensions of the Kalman-Bucy filter for state reconstruction to systems containing parametric uncertainty in the state operator. The emphasis lies on risk averse designs reducing the probability of large reconstruction errors. In a theoretical analysis error bounds in terms of the variance of the uncertainties are derived. The article concludes with a numerical implementation of two examples allowing for a comparison of risk neutral and risk averse estimators. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2511_11350 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Risk averse deterministic Kalman filters for uncertain dynamical systems Kunisch, Karl Schröder, Jesper Optimization and Control Dynamical Systems Taking a deterministic viewpoint this work investigates extensions of the Kalman-Bucy filter for state reconstruction to systems containing parametric uncertainty in the state operator. The emphasis lies on risk averse designs reducing the probability of large reconstruction errors. In a theoretical analysis error bounds in terms of the variance of the uncertainties are derived. The article concludes with a numerical implementation of two examples allowing for a comparison of risk neutral and risk averse estimators. |
| title | Risk averse deterministic Kalman filters for uncertain dynamical systems |
| topic | Optimization and Control Dynamical Systems |
| url | https://arxiv.org/abs/2511.11350 |