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CDC
2008
IEEE

Parameter estimation with expected and residual-at-risk criteria

10 years 6 months ago
Parameter estimation with expected and residual-at-risk criteria
In this paper we study a class of uncertain linear estimation problems in which the data are affected by random uncertainty. In this setting, we consider two estimation criteria, one based on minimization of the expected 1 or 2 norm residual and one based on minimization of the level within which the 1 or 2 norm residual is guaranteed to lie with an a-priori fixed probability (residual at risk). The random uncertainty affecting the data is characterized by means of its first two statistical moments, and the above criteria are intended in a worst-case probabilistic sense, that is worst-case expectations and probabilities over all possible distribution having the specified moments are considered. The ensuing estimation problems can be solved efficiently via convex programming, yielding exact solutions in the 2 norm case and upper-bounds on the optimal solutions in the 1 case.
Giuseppe Carlo Calafiore, Ufuk Topcu, Laurent El G
Added 29 May 2010
Updated 29 May 2010
Type Conference
Year 2008
Where CDC
Authors Giuseppe Carlo Calafiore, Ufuk Topcu, Laurent El Ghaoui
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