Doubly Robust Smoothing of Dynamical Processes via Outlier Sparsity Constraints
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Abstract: Coping with outliers contaminating dynamical processes is of major importance in various applications because mismatches from nominal models are not uncommon in practice. In this context, the present paper develops novel fixed-lag and fixed-interval smoothing algorithms that are robust to outliers simultaneously present in the measurements {it and} in the state dynamics. Outliers are handled through auxiliary unknown variables that are jointly estimated along with the state based on the least-squares criterion that is regularized with the -norm of the outliers in order to effect sparsity control. The resultant iterative estimators rely on coordinate descent and the alternating direction method of multipliers, are expressed in closed form per iteration, and are provably convergent. Additional attractive features of the novel doubly robust smoother include: i) ability to handle both types of outliers; ii) universality to unknown nominal noise and outlier distributions; iii) flexibility to encompass maximum a posteriori optimal estimators with reliable performance under nominal conditions; and iv) improved performance relative to competing alternatives at comparable complexity, as corroborated via simulated tests.
Cited in
(16)- Generalized Kalman smoothing: modeling and algorithms
- Moving horizon estimation for ARMAX processes with additive output noise
- Joint maximum \textit{a posteriori} state path and parameter estimation in stochastic differential equations
- Robust fixed-lag smoothing under model perturbations
- Generalized system identification with stable spline kernels
- Maximum a posteriori state path estimation: discretization limits and their interpretation
- Maximum correntropy Kalman filter
- Robust continuous-time smoothers without two-sided stochastic integrals
- On sparsity‐inducing methods in system identification and state estimation
- Estimation of ARMAX processes with noise corrupted output signal observations
- Simultaneous input and state estimation: from a unified least-squares perspective
- A general formulation of reweighted least squares fitting
- Regularised estimation for ARMAX process with measurements subject to outliers
- Parameterizations for large-scale variational system identification using unconstrained optimization
- Proximal observers for secure state estimation
- An iterative algorithm for \(l_1\)-norm approximation in dynamic estimation problems
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