Parameter estimation with expected and residual-at-risk criteria

DOI10.1016/J.SYSCONLE.2008.07.007MaRDI QIDQ999831zbMATH OpenOpenAlexFDO

Authors Ufuk Topcu, Giuseppe Calafiore, Laurent El Ghaoui

Publication date 10 February 2009

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sysconle.2008.07.007

zbMATH Keywords

value at riskrandom uncertaintyrobust convex optimization\(\ell _{1}\) norm approximationuncertain least-squares

Mathematics Subject Classification ID

Convex programming (90C25) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cites work

• scientific article; zbMATH DE number 1534302 (Why is no real title available?)
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• A regularized robust design criterion for uncertain data
• Exact Regularization of Convex Programs
• Near optimal solutions to least-squares problems with stochastic uncertainty
• On tractable approximations of uncertain linear matrix inequalities affected by interval uncertainty
• Robust Solutions to Least-Squares Problems with Uncertain Data
• Robust Solutions to Uncertain Semidefinite Programs
• Semidefinite Programming
• Semidefinite optimization

Cited in

(6)

• Overall risk criterion estimation of hidden Markov model parameters
• Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
• Log-robust portfolio management with parameter ambiguity
• International portfolio management with affine policies
• Distributionally robust joint chance constraints with second-order moment information
• Moment-based distributionally robust joint chance constrained optimization for service network design under demand uncertainty

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