Fast robust methods for singular state-space models

DOI10.1016/J.AUTOMATICA.2019.04.015zbMATH Open1429.93382arXiv1803.02525OpenAlexW2964049641WikidataQ127911709 ScholiaQ127911709MaRDI QIDQ2280717FDOQ2280717

Sarah Webster, Gianluigi Pillonetto, James V. Burke, Aleksandr Y. Aravkin, Jonathan Jonker

Publication date: 19 December 2019

Published in: Automatica (Search for Journal in Brave)

Abstract: State-space models are used in a wide range of time series analysis formulations. Kalman filtering and smoothing are work-horse algorithms in these settings. While classic algorithms assume Gaussian errors to simplify estimation, recent advances use a broader range of optimization formulations to allow outlier-robust estimation, as well as constraints to capture prior information. Here we develop methods on state-space models where either innovations or error covariances may be singular. These models frequently arise in navigation (e.g. for `colored noise' models or deterministic integrals) and are ubiquitous in auto-correlated time series models such as ARMA. We reformulate all state-space models (singular as well as nonsinguar) as constrained convex optimization problems, and develop an efficient algorithm for this reformulation. The convergence rate is {it locally linear}, with constants that do not depend on the conditioning of the problem. Numerical comparisons show that the new approach outperforms competing approaches for {it nonsingular} models, including state of the art interior point (IP) methods. IP methods converge at superlinear rates; we expect them to dominate. However, the steep rate of the proposed approach (independent of problem conditioning) combined with cheap iterations wins against IP in a run-time comparison. We therefore suggest that the proposed approach be the {it default choice} for estimating state space models outside of the Gaussian context, regardless of whether the error covariances are singular or not.

Full work available at URL: https://arxiv.org/abs/1803.02525

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zbMATH Keywords

time series analysisKalman filtering and smoothingsingular state-space models

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Sensitivity (robustness) (93B35) Time-scale analysis and singular perturbations in control/observation systems (93C70) Data smoothing in stochastic control theory (93E14)

Cites Work

• Analysis of Financial Time Series
• Stochastic processes and filtering theory
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• Title not available (Why is that?)
• Convergence Rate Analysis of Several Splitting Schemes
• International Encyclopedia of Statistical Science
• Smoothed state estimates under abrupt changes using sum-of-norms regularization
• An inequality constrained nonlinear Kalman-Bucy smoother by interior point likelihood maximization
• Sparse/Robust Estimation and Kalman Smoothing with Nonsmooth Log-Concave Densities: Modeling, Computation, and Theory
• Generalized Kalman smoothing: modeling and algorithms
• Computer Solution and Perturbation Analysis of Generalized Linear Least Squares Problems
• A geometrical derivation of the fixed interval smoothing algorithm
• Robust and Trend-Following Student's t Kalman Smoothers

Uses Software

• UNLocBoX
• FinTS

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