Robust fixed-lag smoothing under model perturbations
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Publication:2680282
DOI10.1016/J.JFRANKLIN.2022.10.050zbMATH Open1506.93096arXiv2210.16802OpenAlexW4308804571MaRDI QIDQ2680282FDOQ2680282
Authors: Shenglun Yi, Mattia Zorzi 
Publication date: 30 January 2023
Published in: Journal of the Franklin Institute (Search for Journal in Brave)
Abstract: A robust fixed-lag smoothing approach is proposed in the case there is a mismatch between the nominal model and the actual model. The resulting robust smoother is characterized by a dynamic game between two players: one player selects the least favorable model in a prescribed ambiguity set, while the other player selects the fixed-lag smoother minimizing the smoothing error with respect to least favorable model. We propose an efficient implementation of the proposed smoother. Moreover, we characterize the corresponding least favorable model over a finite time horizon. Finally, we test the robust fixed-lag smoother in two examples. The first one regards a target tracking problem, while the second one regards a parameter estimation problem.
Full work available at URL: https://arxiv.org/abs/2210.16802
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Cited In (10)
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- Robust fixed-lag smoother for linear systems including outliers in the system and observation noises
- A Polynomial Approach to Bias Aware Fixed-Lag Smoothing Problem
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