Robust fixed-lag smoothing under model perturbations
From MaRDI portal
Publication:2680282
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.
Recommendations
- Robust fixed-lag smoother for linear systems including outliers in the system and observation noises
- A robust fixed-lag receding horizon smoother for uncertain state space models
- A robust continuous-time fixed-lag smoother for nonlinear uncertain systems
- H/sub infinity / fixed-lag smoothing filter for scalar systems
- One-step fixed-lag smoothers for Markovian switching systems
Cites work
- scientific article; zbMATH DE number 3948142 (Why is no real title available?)
- scientific article; zbMATH DE number 1226464 (Why is no real title available?)
- A contraction analysis of the convergence of risk-sensitive filters
- A robust continuous-time fixed-lag smoother for nonlinear uncertain systems
- A robust fixed-lag receding horizon smoother for uncertain state space models
- AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
- An $\ell _{1}$-Laplace Robust Kalman Smoother
- Bayesian filtering and smoothing
- Bayesian state estimation on finite horizons: the case of linear state-space model
- Convergence analysis of a family of robust Kalman filters based on the contraction principle
- Diffusion Strategies for Distributed Kalman Filtering and Smoothing
- Discrete-time fixed-lag smoothing algorithms
- Distributed Kalman Filtering Under Model Uncertainty
- Doubly Robust Smoothing of Dynamical Processes via Outlier Sparsity Constraints
- Fixed-Lag Smoothing for Bayes Optimal Knowledge Exploitation in Target Tracking
- On Discrete-Time<tex>$H_infty$</tex>Fixed-Lag Smoothing
- On the robustness of the Bayes and Wiener estimators under model uncertainty
- Properties of risk-sensitive filters/estimators
- Recursive robust estimation and control without commitment
- Robust Kalman Filtering Under Model Perturbations
- Robust Kalman Filtering Under Model Uncertainty: The Case of Degenerate Densities
- Robust Least-Squares Estimation With a Relative Entropy Constraint
- Robust State Space Filtering Under Incremental Model Perturbations Subject to a Relative Entropy Tolerance
- Robust estimation and control under commitment
- Robust finite horizon minimax filtering for discrete-time stochastic uncertain systems
- Robustness
- Robustness and risk-sensitive filtering
- Semi-widely linear estimation algorithms of quaternion signals with missing observations and correlated noises
- The algorithm design manual
- Widely linear estimation for multisensor quaternion systems with mixed uncertainties in the observations
Cited in
(10)- Robust distributed Kalman filtering with event-triggered communication
- 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
- Vector distributed lag models with smoothness priors
- Robust continuous-time smoothers without two-sided stochastic integrals
- A robust fixed-lag receding horizon smoother for uncertain state space models
- A robust continuous-time fixed-lag smoother for nonlinear uncertain systems
- Robust lagfactors
- On the convergence of degenerate risk sensitive filters
- Robust adaptive Kalman filter for structural performance assessment
This page was built for publication: Robust fixed-lag smoothing under model perturbations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2680282)
