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Faster parameter estimation using risk-sensitive filters

Athuraliya, Sanjeewa and Ford, Jason and Moore, John (1998) Faster parameter estimation using risk-sensitive filters. In: Proceedings of the 37th IEEE Conference on Decision and Control. IEEE , Piscataway, NJ, pp. 3411-3416. ISBN 0-7803-4394-8.

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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.

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Additional Information:© 1998 IEEE. Date of Current Version: 06 August 2002.
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INSPEC Accession Number6307227
Record Number:CaltechAUTHORS:20120112-112611178
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Official Citation:Athuraliya, S.; Ford, J.; Moore, J.; , "Faster parameter estimation using risk-sensitive filters," Decision and Control, 1998. Proceedings of the 37th IEEE Conference on , vol.3, no., pp.3411-3416 vol.3, 1998 doi: 10.1109/CDC.1998.758231 URL:
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:28757
Deposited By: Tony Diaz
Deposited On:17 Jan 2012 23:12
Last Modified:09 Nov 2021 17:00

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