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Robust Hypothesis Testing With a Relative Entropy Tolerance

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1 Author(s)
Levy, B.C. ; Dept. of Electr. & Comput. Eng, Univ. of California, Davis, CA

This paper considers the design of a minimax test for two hypotheses where the actual probability densities of the observations are located in neighborhoods obtained by placing a bound on the relative entropy between actual and nominal densities. The minimax problem admits a saddle point which is characterized. The robust test applies a nonlinear transformation which flattens the nominal likelihood ratio in the vicinity of one. Results are illustrated by considering the transmission of binary data in the presence of additive noise.

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Information Theory, IEEE Transactions on  (Volume:55 ,  Issue: 1 )