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Mathematics > Optimization and Control

arXiv:2210.16802 (math)
[Submitted on 30 Oct 2022]

Title:Robust fixed-lag smoothing under model perturbations

Authors:Shenglun Yi, Mattia Zorzi
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Abstract:A robust fixed-lag smoothing approach is proposed in the case there is a mismatch between the nominal model and the actual model. The resulting robust smoother is characterized by a dynamic game between two players: one player selects the least favorable model in a prescribed ambiguity set, while the other player selects the fixed-lag smoother minimizing the smoothing error with respect to least favorable model. We propose an efficient implementation of the proposed smoother. Moreover, we characterize the corresponding least favorable model over a finite time horizon. Finally, we test the robust fixed-lag smoother in two examples. The first one regards a target tracking problem, while the second one regards a parameter estimation problem.
Subjects: Optimization and Control (math.OC)
Cite as: arXiv:2210.16802 [math.OC]
  (or arXiv:2210.16802v1 [math.OC] for this version)
  https://doi.org/10.48550/arXiv.2210.16802

Submission history

From: Mattia Zorzi [view email]
[v1] Sun, 30 Oct 2022 10:30:11 UTC (396 KB)
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