Abstract
The game theoretic robust estimation problem defined in Chapter 3 is a deterministic one. That is, all the input disturbances have deterministic bounds. Nevertheless, as was mentioned in Chapters 2 and 3, this class of problems is closely related to a class of stochastic estimation problems, namely, risk sensitive optimal estimation [99], [111], [112]. In risk sensitive estimation, the noise is assumed to be white, Gaussian, and the cost criterion is the expected value of the exponential of a weighted sum of the squared state estimation errors.
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© 1998 Springer-Verlag London Limited
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Mangoubi, R.S. (1998). Stochastic Interpretation of Robust Estimation: Risk Sensitivity. In: Robust Estimation and Failure Detection. Advances in Industrial Control. Springer, London. https://doi.org/10.1007/978-1-4471-1586-1_4
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DOI: https://doi.org/10.1007/978-1-4471-1586-1_4
Publisher Name: Springer, London
Print ISBN: 978-1-4471-1588-5
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