Robust Ensemble Kalman Filter Based on Exponential Cost Function

DOI10.1002/asjc.843zbMath1305.93188OpenAlexW2140934594MaRDI QIDQ5172938

Shovan Bhaumik

Publication date: 6 February 2015

Published in: Asian Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asjc.843

zbMATH Keywords

robust filteringensemble Kalman filternonlinear estimationrisk sensitive estimation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10)

Related Items (5)

A Corrector Result for the Wave Equation with High Oscillating Periodic Coefficients ⋮ Nonlinear disturbance observer-based adaptive nonlinear model predictive control design for a class of nonlinear MIMO system ⋮ Adaptive model predictive control design using multiple model second level adaptation for parameter estimation of two‐degree freedom of helicopter model ⋮ A multiresolution ensemble Kalman filter using the wavelet decomposition ⋮ Kalman-Wavelet Combined Filtering

Uses Software

• EnKF

Cites Work

• State-space formulae for all stabilizing controllers that satisfy an \(H_{\infty}\)-norm bound and relations to risk sensitivity
• Efficient data assimilation for spatiotemporal chaos: a local ensemble transform Kalman filter
• Particle-method-based formulation of risk-sensitive filter
• Gaussian filters for nonlinear filtering problems
• Optimization of stochastic linear systems with additive measurement and process noise using exponential performance criteria
• Robustness and risk-sensitive filtering
• An Iterative Ensemble Kalman Filter

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