Risk sensitive identification of linear stochastic systems

DOI10.1007/s00498-005-0148-5zbMath1120.93054OpenAlexW2087349465MaRDI QIDQ2576701

Zsuzsanna Vágó, László Gerencsér, György Michaletzky

Publication date: 14 December 2005

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00498-005-0148-5

zbMATH Keywords

recursive identificationstochastic gradientARMA-processmulti-variable linear stochastic systemsrisk sensitive identification

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) System identification (93B30) Linear systems in control theory (93C05) Identification in stochastic control theory (93E12) Stochastic systems in control theory (general) (93E03)

Cites Work

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• On the optimal control of stochastic systems with an exponential-of- integral performance index
• Minimum entropy \(H_{\infty}\) control
• Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
• Risk-sensitive linear/quadratic/gaussian control
• Rate of Convergence of Recursive Estimators
• Optimization of stochastic linear systems with additive measurement and process noise using exponential performance criteria
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games

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