A robust unscented transformation for uncertain moments

DOI10.1016/J.JFRANKLIN.2019.02.018MaRDI QIDQ1738657zbMATH OpenOpenAlexFDO

Authors Hugo T. M. Kussaba, Leonardo R. A. X. Menezes, João Y. Ishihara

Publication date 18 April 2019

Published in Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.09293

zbMATH Keywords

Chebyshev centerLasserre's hierarchymomentspolynomial optimization problemposterior distributionsigma pointsunscented transform

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Robustness in mathematical programming (90C17) Polynomial optimization (90C23)

Abstract: This paper proposes a robust version of the unscented transform (UT) for one-dimensional random variables. It is assumed that the moments are not exactly known, but are known to lie in intervals. In this scenario, the moment matching equations are reformulated as a system of polynomial equations and inequalities, and it is proposed to use the Chebychev center of the solution set as a robust UT. This method yields a parametrized polynomial optimization problem, which in spite of being NP-Hard, can be relaxed by some algorithms that are proposed in this paper.

Review text

In numerous problems of statistics and stochastic filtering, one is often interested in calculating the posterior expectation of a continuous random variable that undergoes a nonlinear transform. The authors propose a robust version of the unscented transform (UT) for one-dimensional random variables. The principle behind UT is to approximate the continuous distribution by the discrete distribution by equating the first \(m\) moments of these distributions. UT is a deterministic sampling technique and has less computational burden than the Monte Carlo integration method. In the paper, it is proposed to use the Chebyshev center of the semialgebraic set defined by the possible choices of sigma points and their weights as a robust UT. As the moments are not usually exactly known in practical situations, it is assumed that they lie in some intervals. Two approaches for generating robust sigma points are proposed. The moment matching equations of UT are reformulated as a system of polynomial equations with polynomial inequalities. As this system can have more than one solution, it is possible to choose a set of sigma points which minimizes a given cost function by formulating the problem as a polynomial optimization problem solved by using Lasserre's hierarchy of semidefinite programming relaxations. The main contribution of the paper is the introduction of the concept of UT robustness in the sense of exploiting the upper and lower bounds for moments. Robustness is achieved by matching precisely known high order moments. Lasserre's hierarchy of relaxations is applied to polynomial equations with polynomial inequalities.

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Cited in

(6)

• An unscented transformation approach to stochastic analysis of measurement uncertainty in magnet resonance imaging with applications in engineering
• Recent Advances in the Combination of the Unscented Transform (UT) with the Transmission Line Modeling Method (TLM)
• Application of the transformation of variables technique for uncertainty mapping in nonlinear filtering
• A higher order unscented transform
• Nonlinear estimation applying an unscented transformation in systems with correlated uncertain observations
• Statistical robust design using the unscented transformation

Describes a project that uses

Uses Software

• SparsePOP
• SPOTless
• GloptiPoly
• Ncpol2sdpa

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