M. A. Alcorta-García, M. V. Basin, S. G. Anguiano and J. J. Maldonado, “Sub-optimal Risk-Sensitive Filtering for Third Degree Polynomial Stochastic Systems,” IEEE Control Applications & Intelligent Control, St. Petersburg, 8-10 July 2009, pp. 285-289.

has been cited by the following article:

• TITLE: Optimal Risk-Sensitive Filtering for System Stochastic of Second and Third Degree

  AUTHORS: Ma Aracelia Alcorta-Garcia, Sonia Gpe Anguiano Rostro, Mauricio Torres Torres

  KEYWORDS: Optimal Nonlinear Filtering, Risk-Sensitive Filtering, Extended Kalman-Bucy Filtering

  JOURNAL NAME: Intelligent Control and Automation, Vol.2 No.1, March 4, 2011

  ABSTRACT: The risk-sensitive filtering design problem with respect to the exponential mean-square cost criterion is con-sidered for stochastic Gaussian systems with polynomial of second and third degree drift terms and intensity parameters multiplying diffusion terms in the state and observations equations. The closed-form optimal fil-tering equations are obtained using quadratic value functions as solutions to the corresponding Focker- Plank-Kolmogorov equation. The performance of the obtained risk-sensitive filtering equations for stochastic polynomial systems of second and third degree is verified in a numerical example against the optimal po-lynomial filtering equations (and extended Kalman-Bucy for system polynomial of second degree), through comparing the exponential mean-square cost criterion values. The simulation results reveal strong advan-tages in favor of the designed risk-sensitive equations for some values of the intensity parameters.