Faster parameter estimation using risk-sensitive filters

Athuraliya, Sanjeewa, Ford, Jason J., & Moore, John (1998) Faster parameter estimation using risk-sensitive filters. In Proceedings of the 37th IEEE Conference on Decision and Control, 1998, IEEE, Tampa, Florida USA, pp. 3411-3416.

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In this paper, we propose a risk-sensitive approach to parameter estimation for hidden Markov models (HMMs). The parameter estimation approach considered exploits estimation of various functions of the state, based on model estimates. We propose certain practical suboptimal risk-sensitive filters to estimate the various functions of the state during transients, rather than optimal risk-neutral filters as in earlier studies. The estimates are asymptotically optimal, if asymptotically risk neutral, and can give significantly improved transient performance, which is a very desirable objective for certain engineering applications.

To demonstrate the improvement in estimation simulation studies are presented that compare parameter estimation based on risk-sensitive filters with estimation based on risk-neutral filters.

Impact and interest:

1 citations in Scopus
1 citations in Web of Science®
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ID Code: 78153
Item Type: Conference Paper
Refereed: Yes
DOI: 10.1109/CDC.1998.758231
ISBN: 0780343948
Subjects: Australian and New Zealand Standard Research Classification > ENGINEERING (090000) > ELECTRICAL AND ELECTRONIC ENGINEERING (090600)
Divisions: Current > Schools > School of Electrical Engineering & Computer Science
Current > QUT Faculties and Divisions > Science & Engineering Faculty
Copyright Owner: Copyright 1998 IEEE
Deposited On: 31 Oct 2014 00:02
Last Modified: 01 Nov 2014 04:54

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