On a Class of Optimization-Based Robust Estimators

DOI10.1109/TAC.2017.2703308MaRDI QIDQ4566947zbMATH OpenFDO

Authors Laurent Bako

Publication date 27 June 2018

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.02837

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Estimation and detection in stochastic control theory (93E10)

Abstract: We consider in this paper the problem of estimating a parameter matrix from observations which are affected by two types of noise components: (i) a sparse noise sequence which, whenever nonzero can have arbitrarily large amplitude (ii) and a dense and bounded noise sequence of "moderate" amount. This is termed a robust regression problem. To tackle it, a quite general optimization-based framework is proposed and analyzed. When only the sparse noise is present, a sufficient bound is derived on the number of nonzero elements in the sparse noise sequence that can be accommodated by the estimator while still returning the true parameter matrix. While almost all the restricted isometry-based bounds from the literature are not verifiable, our bound can be easily computed through solving a convex optimization problem. Moreover, empirical evidence tends to suggest that it is generally tight. If in addition to the sparse noise sequence, the training data are affected by a bounded dense noise, we derive an upper bound on the estimation error.

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(9)

• SOCP based variance free Dantzig selector with application to robust estimation
• A stochastic analysis of robust estimation algorithms inH_∞with rational basis functions
• A Competitive Minimax Approach to Robust Estimation of Random Parameters
• On sparsity‐inducing methods in system identification and state estimation
• Robust estimation via generalized quasi-gradients
• Robust estimator design with an emphasis balance between performance and robustness
• \(\sqrt n\)-consistent robust integration-based estimation
• scientific article; zbMATH DE number 6785488 (Why is no real title available?)
• Robustness analysis of a maximum correntropy framework for linear regression

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