Faster parameter estimation using risk-sensitive filters

Abstract

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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