Robust Least-Squares Estimation With a Relative Entropy Constraint

DOI10.1109/TIT.2003.821992zbMath1301.94047OpenAlexW1966593585MaRDI QIDQ3547241

Bernard C. Levy, Ramine Nikoukhah

Publication date: 21 December 2008

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tit.2003.821992

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Measures of information, entropy (94A17) Statistical aspects of information-theoretic topics (62B10)

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On the robustness of the Bayes and Wiener estimators under model uncertainty ⋮ Discrete-time, robust Wiener filtering with non-parametric spectral uncertainty ⋮ Robust fixed-lag smoothing under model perturbations ⋮ Adaptive risk-sensitive filter for Markovian jump linear systems ⋮ Robust distributed Kalman filtering with event-triggered communication ⋮ Convergence Analysis of a Family of Robust Kalman Filters Based on the Contraction Principle ⋮ Robust hypothesis testing for asymmetric nominal densities under a relative entropy tolerance ⋮ On optimal estimations with minimum error entropy criterion ⋮ Forward-Backward-Half Forward Algorithm for Solving Monotone Inclusions ⋮ A Robust Information Clustering Algorithm ⋮ Robust Wiener filtering with non-parametric spectral uncertainty

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