64 citations · 64 across the 4 of their papers we have counts for
5 papers
Robust Kalman Filtering: Asymptotic Analysis of the Least Favorable Model
Mattia Zorzi, Bernard C. Levy
We consider a robust filtering problem where the robust filter is designed according to the least favorable model belonging to a ball about the nominal model. In this approach, the…
On the convergence of a Risk Sensitive like Filter
Mattia Zorzi, Bernard C. Levy
In this paper, we analyze the convergence of a risk sensitive like filter where the risk sensitivity parameter is time varying. Such filter has a Kalman like structure and its gain…
A Contraction Analysis of the Convergence of Risk-Sensitive Filters
Bernard C. Levy, Mattia Zorzi
A contraction analysis of risk-sensitive Riccati equations is proposed. When the state-space model is reachable and observable, a block-update implementation of the risk-sensitive…
Robust State Space Filtering under Incremental Model Perturbations Subject to a Relative Entropy Tolerance
Bernard C. Levy, Ramine Nikoukhah
This paper considers robust filtering for a nominal Gaussian state-space model, when a relative entropy tolerance is applied to each time increment of a dynamical model. The proble…
Robust Hypothesis Testing with a Relative Entropy Tolerance
Bernard C. Levy
This paper considers the design of a minimax test for two hypotheses where the actual probability densities of the observations are located in neighborhoods obtained by placing a b…