Game theory and convex optimization methods in robust estimation problems

MaRDI QIDQ2740086zbMATH OpenFDO

Authors M. P. Moklyachuk

Publication date 16 September 2001

Published in Theory of Stochastic Processes (Search for Journal in Brave)

zbMATH Keywords

Hilbert spacemean square optimal estimateminimax spectral characteristicstationary stochastic process

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)

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Cited in

(12)

• A robust optimization approach for solving two-person games under interval uncertainty
• Minimax interpolation of harmonizable sequences
• Interpolation of periodically correlated stochastic sequences
• Filtration of linear functionals of periodically correlated sequences
• Interpolation of functionals of stochastic sequences with stationary increments
• Minimax-robust filtering problem for stochastic sequences with stationary increments
• Estimates of functionals constructed from random sequences with periodically stationary increments
• Robust optimization with applications to game theory
• A game theory approach to constrained minimax state estimation
• Minimax prediction of random processes with stationary increments from observations with stationary noise
• Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences
• Distributionally robust chance constrained games under Wasserstein ball

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