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arXiv · 2511.11350

Risk averse deterministic Kalman filters for uncertain dynamical systems

Karl Kunisch·Jesper Schröder
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Abstract

Taking a deterministic viewpoint this work investigates extensions of the Kalman-Bucy filter for state reconstruction to systems containing parametric uncertainty in the state operator. The emphasis lies on risk averse designs reducing the probability of large reconstruction errors. In a theoretical analysis error bounds in terms of the variance of the uncertainties are derived. The article concludes with a numerical implementation of two examples allowing for a comparison of risk neutral and risk averse estimators.

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Karl Kunisch, Jesper Schröder. 2025-11-14. Risk averse deterministic Kalman filters for uncertain dynamical systems. https://arxiv.org/abs/2511.11350

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