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Robust State Space Filtering under Incremental Model Perturbations Subject to a Relative Entropy Tolerance
[article]
2011
arXiv
pre-print
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 [1] for static least-squares estimation. The resulting minimax filter takes the form of a
arXiv:1004.2519v2
fatcat:qkmfutdh7bdornwa22svq2zz5m