A robust unscented transformation for uncertain moments

DOI10.1016/J.JFRANKLIN.2019.02.018zbMATH Open1456.65180arXiv1902.09293OpenAlexW2917692789MaRDI QIDQ1738657FDOQ1738657

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

Publication date: 18 April 2019

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

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.

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

zbMATH Keywords

momentsposterior distributionpolynomial optimization problemChebyshev centerLasserre's hierarchyunscented transformsigma points

Mathematics Subject Classification ID

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

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Cited In (3)

• Application of the transformation of variables technique for uncertainty mapping in nonlinear filtering
• Nonlinear estimation applying an unscented transformation in systems with correlated uncertain observations
• Statistical robust design using the unscented transformation

Uses Software

• SparsePOP
• GloptiPoly
• Ncpol2sdpa
• SPOTless

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