Robust Least-Squares Estimation With a Relative Entropy Constraint

DOI10.1109/TIT.2003.821992MaRDI QIDQ3547241zbMATH OpenOpenAlexFDO

Authors Bernard C. Levy, Ramine Nikoukhah

Publication date 21 December 2008

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.2003.821992

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Minimax procedures in statistical decision theory (62C20) Measures of information, entropy (94A17)

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Cited in

(18)

• On the robustness of the Bayes and Wiener estimators under model uncertainty
• Robust hypothesis testing for asymmetric nominal densities under a relative entropy tolerance
• Robust fixed-lag smoothing under model perturbations
• A Robust Information Clustering Algorithm
• Robust Wiener filtering with non-parametric spectral uncertainty
• Discrete-time, robust Wiener filtering with non-parametric spectral uncertainty
• Forward-Backward-Half Forward Algorithm for Solving Monotone Inclusions
• Convergence analysis of a family of robust Kalman filters based on the contraction principle
• Adaptive risk-sensitive filter for Markovian jump linear systems
• Robust distributed Kalman filtering with event-triggered communication
• On the convergence of degenerate risk sensitive filters
• Robust adaptive Kalman filter for structural performance assessment
• Tilted least squares robust estimators
• On the coupling of model predictive control and robust Kalman filtering
• Distributionally robust Gaussian process regression and Bayesian inverse problems
• Distributionally robust optimization
• An update-resilient Kalman filtering approach
• On optimal estimations with minimum error entropy criterion

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