Robust State Space Filtering Under Incremental Model Perturbations Subject to a Relative Entropy Tolerance - Levy, B. C.; Nikoukhah, R. (IEEE transactions on automatic control, 2013)
Keywords: Commitment; Covariance matrix; dynamic minimax game; Dynamics; Entropy; Estimation; Filtering; Filtration; Games; Kalman filters; Least squares method; least-favorable model; Minimax technique; myopic strategy; relative entropy; risk-sensitive filtering; robust filtering; Robustness; Studies; Tolerances; Vectors