Fast robust methods for singular state-space models

DOI10.1016/J.AUTOMATICA.2019.04.015MaRDI QIDQ2280717zbMATH OpenOpenAlexWikidataFDO

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

Publication date 19 December 2019

Published in Automatica (Search for Journal in Brave)

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

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)

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.

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Cited in

(1)

• Generalized Kalman smoothing: modeling and algorithms

Describes a project that uses

Uses Software

• UNLocBoX
• FinTS

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