Point estimation, stochastic approximation, and robust Kalman filtering

MaRDI QIDQ4026318zbMATH OpenFDO

Authors Irvin C. Schick, Sanjoy K. Mitter

Publication date 21 February 1993

zbMATH Keywords

Kalman filternon-Gaussian noises

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Sensitivity (robustness) (93B35) Filtering in stochastic control theory (93E11)

Review text

[For the entire collection see Zbl 0745.00051.] The performance of the Kalman filter in the presence of non-Gaussian noises is considered. Due to the severe performance deterioration when noises with heavy-tailed density functions are present, authors try minimax estimation techniques for robustification purposes. They also show relationships between this minimax approach, stochastic approximation, and an estimator found by asymptotic expansion.

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Cited in

(8)

• Robust locally optimal filters: Kalman and Bayesian estimation theory
• The Kantorovich inequality for error analysis of the Kalman filter with unknown noise distributions
• A comparison of classical stochastic estimation and deterministic robust estimation
• On robust Kalman filtering
• Diffusion approximation and robust Kalman filter
• scientific article; zbMATH DE number 755283 (Why is no real title available?)
• Planning and learning in partially observable systems via filter stability
• A Kalman-tracking filter approach to nonlinear programming

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