Robust Kalman and Bayesian Set-Valued Filtering and Model Validation for Linear Stochastic Systems

DOI10.1137/22m1481270zbMath1515.60104OpenAlexW4367042216MaRDI QIDQ6109170

Publication date: 30 June 2023

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/22m1481270

zbMATH Keywords

Kalman filtering change of measure robust filtering linear stochastic systems partial prior information set-valued filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Sensitivity (robustness) (93B35) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Set-membership filtering for systems with sensor saturation
Risk-sensitivity conditions for stochastic uncertain model validation
Robust state estimation and model validation for discrete-time uncertain systems with a deterministic description of noise and uncertainty
On combining statistical and set-theoretic estimation
Robust Kalman filtering for signals and systems with large uncertainties.
Nonlinear filtering of convex sets of probability distributions
On the robustness of Riccati flows to complete model misspecification
Ellipsoidal bounds for uncertain linear equations and dynamical systems
The Kantorovich inequality for error analysis of the Kalman filter with unknown noise distributions
Model validation for robust control of uncertain systems with an integral quadratic constraint
Robust finite horizon minimax filtering for discrete-time stochastic uncertain systems
On Set-Valued Kalman Filtering and Its Application to Event-Based State Estimation
Set-membership filtering for polytopic uncertain discrete-time systems
Smoothing and Filtering with a Class of Outer Measures
Set-values filtering and smoothing
Analysis of discrete-time Kalman filtering under incorrect noise covariances
Detectability and Stabilizability of Time-Varying Discrete-Time Linear Systems
Divergence of the stationary Kalman filter for correct and for incorrect noise variances
The Kalman filter: A robust estimator for some classes of linear quadratic problems
Minimax optimal control of stochastic uncertain systems with relative entropy constraints
A framework for state-space estimation with uncertain models
On the Stability of Kalman--Bucy Diffusion Processes
Recursive state estimation for uncertain systems with an integral quadratic constraint
Robust Filtering Through Coherent Lower Previsions
Testing Statistical Hypotheses
State bounding with ellipsoidal set description of the uncertainty
An explicit Floquet-type representation of Riccati aperiodic exponential semigroups
Set-theoretic methods in control
Multi-input multi-output ellipsoidal state bounding.

This page was built for publication: Robust Kalman and Bayesian Set-Valued Filtering and Model Validation for Linear Stochastic Systems