Robust Kalman Filtering Under Model Perturbations

• Published in: IEEE transactions on automatic control Vol. 62; no. 6; pp. 2902 - 2907
• Main Author: Zorzi, Mattia
• Format: Journal Article
• Language: English
• Published: New York IEEE 01.06.2017; The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
• Subjects: Budgeting; Covariance matrices; Divergence; Estimation; Iterative methods; Kalman filters; Mean square error methods; Mean square values; Minimax problem; Minimax technique; Parameter sensitivity; Risk; risk sensitive filtering; robust Kalman filtering; Robustness; Sensitivity; Tau-divergence family; Uncertainty

We consider a family of divergence-based minimax approaches to perform robust filtering. The mismodeling budget, or tolerance, is specified at each time increment of the model. More precisely, all possible model increments belong to a ball which is formed by placing a bound on the Tau-divergence fam...