@inproceedings{6e34c0570f2e42f495828f8d5ea86bd5,
title = "Robust filtering for continuous-time stochastic uncertain systems with relative entropy constraints",
abstract = "In this paper, we consider a filtering problem for stochastic uncertain systems. The uncertainty in the system is characterized in terms of an uncertain probability distribution on the noise input. This uncertainty is assumed to satisfy a certain relative entropy constraint. The solution to a specially parametrized risk-sensitive stochastic filtering problem is used to construct a filter for the uncertain system which guarantees a certain upper bound on the filtering error. This solution is obtained by solving a pair of algebraic Riccati equations. The corresponding filtering error bound holds for all admissible uncertainties.",
keywords = "H filtering, LQG control, Robust filtering, guaranteed error filtering, risk-sensitive control",
author = "Ugrinovskii, {V. A.} and Petersen, {I. R.}",
note = "Publisher Copyright: {\textcopyright} 1999 EUCA.; 1999 European Control Conference, ECC 1999 ; Conference date: 31-08-1999 Through 03-09-1999",
year = "2015",
month = mar,
day = "24",
doi = "10.23919/ecc.1999.7099771",
language = "English",
series = "European Control Conference, ECC 1999 - Conference Proceedings",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "2916--2921",
booktitle = "European Control Conference, ECC 1999 - Conference Proceedings",
address = "United States",
}