Robust Hypothesis Testing with $\alpha $ -Divergence

A robust minimax test for two composite hypotheses, which are determined by the neighborhoods of two nominal distributions with respect to a set of distances-called α-divergence distances, is proposed. Sion's minimax theorem is adopted to characterize the saddle value condition. Least favorable distributions, the robust decision rule and the robust likelihood ratio test are derived. If the nominal probability distributions satisfy a symmetry condition, the design procedure is shown to be simplified considerably. The parameters controlling the degree of robustness are bounded from above and the bounds are shown to be resulting from a solution of a set of equations. The simulations performed evaluate and exemplify the theoretical derivations.