{"id":1289,"date":"2023-06-29T09:54:43","date_gmt":"2023-06-29T08:54:43","guid":{"rendered":"https:\/\/babel.isa.uma.es\/kipr\/?p=1289"},"modified":"2023-06-29T09:54:43","modified_gmt":"2023-06-29T08:54:43","slug":"including-uncertainty-into-the-model-of-a-kf-to-provide-robust-estimators","status":"publish","type":"post","link":"https:\/\/babel.isa.uma.es\/kipr\/?p=1289","title":{"rendered":"Including uncertainty into the model of a KF to provide robust estimators"},"content":{"rendered":"<h4>Shaolin Ji, Chuiliu Kong, Chuanfeng Sun, <strong>A robust Kalman\u2013Bucy filtering problem,<\/strong> . Automatica, Volume 122, 2020, <a href=\"https:\/\/doi.org\/10.1016\/j.automatica.2020.109252\" target=\"_blank\">DOI: 10.1016\/j.automatica.2020.109252<\/a>.<\/h4>\n<blockquote><p>A generalized Kalman\u2013Bucy 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\u2013Bucy 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.<\/p><\/blockquote>\n","protected":false},"excerpt":{"rendered":"<p>Shaolin Ji, Chuiliu Kong, Chuanfeng Sun, A robust Kalman\u2013Bucy filtering problem, . Automatica, Volume 122, 2020, DOI: 10.1016\/j.automatica.2020.109252. A generalized <span class=\"ellipsis\">&hellip;<\/span> <span class=\"more-link-wrap\"><a href=\"https:\/\/babel.isa.uma.es\/kipr\/?p=1289\" class=\"more-link\"><span>Read More &rarr;<\/span><\/a><\/span><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[94],"tags":[113,134],"class_list":["post-1289","post","type-post","status-publish","format-standard","hentry","category-bayesian-filtering","tag-kalman-filtering","tag-robust-estimation"],"_links":{"self":[{"href":"https:\/\/babel.isa.uma.es\/kipr\/index.php?rest_route=\/wp\/v2\/posts\/1289"}],"collection":[{"href":"https:\/\/babel.isa.uma.es\/kipr\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/babel.isa.uma.es\/kipr\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/babel.isa.uma.es\/kipr\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/babel.isa.uma.es\/kipr\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=1289"}],"version-history":[{"count":1,"href":"https:\/\/babel.isa.uma.es\/kipr\/index.php?rest_route=\/wp\/v2\/posts\/1289\/revisions"}],"predecessor-version":[{"id":1290,"href":"https:\/\/babel.isa.uma.es\/kipr\/index.php?rest_route=\/wp\/v2\/posts\/1289\/revisions\/1290"}],"wp:attachment":[{"href":"https:\/\/babel.isa.uma.es\/kipr\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1289"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/babel.isa.uma.es\/kipr\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1289"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/babel.isa.uma.es\/kipr\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1289"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}