By Topic

Robust State Space Filtering Under Incremental Model Perturbations Subject to a Relative Entropy Tolerance

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

The purchase and pricing options are temporarily unavailable. Please try again later.
2 Author(s)
Levy, B.C. ; Dept. of Electr. & Comput. Eng., Univ. of California, Davis, Davis, CA, USA ; Nikoukhah, R.

This paper considers robust filtering for a nominal Gaussian state-space model, when a relative entropy tolerance is applied to each time increment of a dynamical model. The problem is formulated as a dynamic minimax game where the maximizer adopts a myopic strategy. This game is shown to admit a saddle point whose structure is characterized by applying and extending results presented earlier in “Robust least-squares estimation with a relative entropy constraint” (B. C. Levy and R. Nikoukhah, IEEE Trans. Inf. Theory, vol. 50, no. 1, 89-104, Jan. 2004) for static least-squares estimation. The resulting minimax filter takes the form of a risk-sensitive filter with a time varying risk sensitivity parameter, which depends on the tolerance bound applied to the model dynamics and observations at the corresponding time index. The least-favorable model is constructed and used to evaluate the performance of alternative filters. Simulations comparing the proposed risk-sensitive filter to a standard Kalman filter show a significant performance advantage when applied to the least-favorable model, and only a small performance loss for the nominal model.

Published in:

Automatic Control, IEEE Transactions on  (Volume:58 ,  Issue: 3 )