@inproceedings{6a1fb1c2ab724390a0fa0481c8cd14d5,
title = "Robust State Estimator Design for Systems with Unknown Exogenous Inputs: A Risk-Sensitive Approach",
abstract = "In this paper, a robust state estimation problem for discrete-time systems with unknown exogenous inputs is investigated utilizing a risk-sensitive filtering approach. By proposing a Radon-Nikodym derivative, we introduce a reference measure under which the measurement and system state become independent. Based on this independent property and by treating the unknown inputs as a process modeled by a non-informative prior, we derive the reformulated risk-sensitive cost criterion under the reference measure and further propose a recursive algorithm for the risk-sensitive state estimate. A simulation example is provided to validate the theoretical results, where the proposed estimator is shown to outperform the MMSE estimator for unknown input case under the scenario subject to system parameter uncertainties.",
keywords = "Riccati equations, Unknown exogenous inputs, reference measure, risk-sensitive filtering, robust estimation",
author = "Jiarao Huang and Dawei Shi and Tongwen Chen",
note = "Publisher Copyright: {\textcopyright} 2018 IEEE.; 14th IEEE International Conference on Control and Automation, ICCA 2018 ; Conference date: 12-06-2018 Through 15-06-2018",
year = "2018",
month = aug,
day = "21",
doi = "10.1109/ICCA.2018.8444341",
language = "English",
isbn = "9781538660898",
series = "IEEE International Conference on Control and Automation, ICCA",
publisher = "IEEE Computer Society",
pages = "136--141",
booktitle = "2018 IEEE 14th International Conference on Control and Automation, ICCA 2018",
address = "United States",
}