On robust solutions to linear least squares problems affected by data uncertainty and implementation errors with application to stochastic signal modeling
type: Item
instance of: scholarly article
title: On robust solutions to linear least squares problems affected by data uncertainty and implementation errors with application to stochastic signal modeling
zbMATH Open document ID: 1067.65039
author: Orhan Arıkan
author: Mustafa Ç. Pınar
published in: Linear Algebra and its Applications
publication date: 2004-11-23T00:00:00Z
full work available at URL: http://hdl.handle.net/11693/24198
review text: The robust solution to least squares problems with data uncertainties and coefficient quantization is considered. The investigation is resulted in approximate robust problems inspired by the important contributions of \textit{A. Ben-Tal} and \textit{A. Nemirovski} [Math. Oper. Res. 23, No.~4, 769--805 (1998; Zbl 0977.90052); SIAM J. Optim. 12, No.~3, 811--833 (2002; Zbl 1008.90034)]. The approximate robust counterpart problems are semidefinite programming problems efficiently solved by polynomial interior point algorithms. To illustrate the performance of the proposed framework, the well known digital signal processing application of ARMA modeling is used. Some experimental results are given to demonstrate that the robust least squares solution approach provides significantly more stable solutions even in the presence of coefficient quantization effects. Thus, the robust least squares approach addresses the right issues in the implementation of ARMA signal modeling, and provides reliable models.
Mathematics Subject Classification ID: 65F20
Mathematics Subject Classification ID: 94A12
Mathematics Subject Classification ID: 90C22
Mathematics Subject Classification ID: 65K05
Mathematics Subject Classification ID: 65F35
zbMATH DE Number: 2117842
zbMATH Keywords: least squares
zbMATH Keywords: semidefinite programming
zbMATH Keywords: robustness
zbMATH Keywords: signal processing
zbMATH Keywords: numerical examples
zbMATH Keywords: data perturbations
zbMATH Keywords: implementation errors
zbMATH Keywords: data uncertainties
zbMATH Keywords: coefficient quantization
zbMATH Keywords: interior point algorithms
zbMATH Keywords: ARMA modeling
reviewed by: Tzvetan Semerdjiev
describes a project that uses: YALMIP
describes a project that uses: UTV
describes a project that uses: Regularization tools
describes a project that uses: VanHuffel
describes a project that uses: SeDuMi
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2002672144
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DOI: 10.1016/J.LAA.2003.10.013
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description: scientific article; zbMATH DE number 2117842