Methods for minimax estimation under elementwise covariance uncertainty

DOI10.1134/S0005117916050064zbMath1346.93362OpenAlexW2399022472MaRDI QIDQ315153

E. N. Platonov, K. V. Semenikhin

Publication date: 19 September 2016

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117916050064

Mathematics Subject Classification ID

Semidefinite programming (90C22) Optimality conditions and duality in mathematical programming (90C46) Control/observation systems with incomplete information (93C41) Estimation and detection in stochastic control theory (93E10) Methods of reduced gradient type (90C52)

Related Items

The conditionally minimax nonlinear filtering method and modern approaches to state estimation in nonlinear stochastic systems ⋮ A multivariate Chebyshev bound of the Selberg form

Uses Software

• SeDuMi
• CVX
• YALMIP

Cites Work

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• Minimax MSE estimation of deterministic parameters with noise covariance uncertainties
• LMI-based minimax estimation and filtering under unknown covariances

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