IEEE Transactions on Automatic Control, Vol.39, No.9, 1914-1918, 1994
Risk-Sensitive Estimation and a Differential Game
A large deviation result is employed to solve the state estimation problem of a continuous time Gauss-Markov system with an exponential cost. The exponential cost is the expected value of an exponential function of the state estimation-error. A scalar theta appearing in the cost, termed as the risk factor, determines the penalty on the higher order moments of the error. In contrast to the minimum variance estimate, penalty on large deviations or the estimation error is possible.