Worst-case Prediction Performance Analysis of the Kalman Filter

MaRDI QIDQ5375271zbMATHFDO

Authors Sholeh Yasini, Kristiaan Pelckmans

Publication date 14 September 2018

Full work available at URL https://arxiv.org/abs/1611.02050

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Data smoothing in stochastic control theory (93E14)

Abstract: In this paper, we study the prediction performance of the Kalman filter (KF) in a worst-case, minimax setting as studied in online machine learning, information - and game theory. The aim is to predict the sequence of observations almost as well as the best reference predictor (comparator) sequence in a comparison class. We prove worst-case bounds on the cumulative squared prediction errors using a priori knowledge about the complexity of reference predictor sequence. In fact, the performance of the KF is derived as a function of the performance of the best reference predictor and the total amount of drift occurs in the schedule of the best comparator.

Cited in

(3)

• Predictability and unpredictability in Kalman filtering
• How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
• Q-learning for noise covariance adaptation in extended Kalman filter

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