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Avtomatika i Telemekhanika, 2016, Issue 5, Pages 82–108
(Mi at14459)
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This article is cited in 2 scientific papers (total in 2 papers)
Stochastic Systems, Queuing Systems
Methods for minimax estimation under elementwise covariance uncertainty
E. N. Platonov, K. V. Semenikhin Moscow Aviation Institute (National Research University), Moscow, Russia
Abstract:
We consider the minimax estimation problem in the linear regression model under elementwise constraints imposed on the covariance matrix of the random parameters vector. Minimax estimates are designed using several approaches to the numerical solution of the dual problem, namely, the semidefinite programming method, the conditional gradient method and its modification with the Lagrange multipliers and regularization. The efficiency of the suggested methods is illustrated by the example of path restoration for a maneuvering target with a statistically uncertain acceleration.
Citation:
E. N. Platonov, K. V. Semenikhin, “Methods for minimax estimation under elementwise covariance uncertainty”, Avtomat. i Telemekh., 2016, no. 5, 82–108; Autom. Remote Control, 77:5 (2016), 817–838
Linking options:
https://www.mathnet.ru/eng/at14459 https://www.mathnet.ru/eng/at/y2016/i5/p82
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Statistics & downloads: |
Abstract page: | 237 | Full-text PDF : | 61 | References: | 41 | First page: | 24 |
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