About Gaussian filtering problems with general exponential quadratic criteria

TL;DR

This paper investigates Gaussian filtering problems with exponential quadratic criteria for Gauss-Markov processes, solving specific filtering problems and highlighting differences in their solutions.

Contribution

It provides solutions to Linear Exponential Gaussian and Risk-Sensitive filtering problems, showing they can have different solutions in this context.

Findings

Solutions to Linear Exponential Gaussian filtering are derived.

Risk-Sensitive filtering solutions are obtained and compared.

The two filtering approaches may yield different results.

Abstract

Filtering problems with general exponential quadratic criteria are investigated for Gauss-Markov processes. In this setting, the Linear Exponential Gaussian and Risk-Sensitive filtering problems are solved and it is shown that they may have different solutions.