356 research outputs found
Blind Minimax Estimation
We consider the linear regression problem of estimating an unknown,
deterministic parameter vector based on measurements corrupted by colored
Gaussian noise. We present and analyze blind minimax estimators (BMEs), which
consist of a bounded parameter set minimax estimator, whose parameter set is
itself estimated from measurements. Thus, one does not require any prior
assumption or knowledge, and the proposed estimator can be applied to any
linear regression problem. We demonstrate analytically that the BMEs strictly
dominate the least-squares estimator, i.e., they achieve lower mean-squared
error for any value of the parameter vector. Both Stein's estimator and its
positive-part correction can be derived within the blind minimax framework.
Furthermore, our approach can be readily extended to a wider class of
estimation problems than Stein's estimator, which is defined only for white
noise and non-transformed measurements. We show through simulations that the
BMEs generally outperform previous extensions of Stein's technique.Comment: 12 pages, 7 figure
Robust Kalman filtering for discrete time-varying uncertain systems with multiplicative noises
Copyright [2002] IEEE. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of Brunel University's products or services. Internal or personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution must be obtained from the IEEE by writing to [email protected]. By choosing to view this document, you agree to all provisions of the copyright laws protecting it.In this paper, a robust finite-horizon Kalman filter is designed for discrete time-varying uncertain systems with both additive and multiplicative noises. The system under consideration is subject to both deterministic and stochastic uncertainties. Sufficient conditions for the filter to guarantee an optimized upper bound on the state estimation error variance for admissible uncertainties are established in terms of two discrete Riccati difference equations. A numerical example is given to show the applicability of the presented method
Generalized SURE for Exponential Families: Applications to Regularization
Stein's unbiased risk estimate (SURE) was proposed by Stein for the
independent, identically distributed (iid) Gaussian model in order to derive
estimates that dominate least-squares (LS). In recent years, the SURE criterion
has been employed in a variety of denoising problems for choosing
regularization parameters that minimize an estimate of the mean-squared error
(MSE). However, its use has been limited to the iid case which precludes many
important applications. In this paper we begin by deriving a SURE counterpart
for general, not necessarily iid distributions from the exponential family.
This enables extending the SURE design technique to a much broader class of
problems. Based on this generalization we suggest a new method for choosing
regularization parameters in penalized LS estimators. We then demonstrate its
superior performance over the conventional generalized cross validation
approach and the discrepancy method in the context of image deblurring and
deconvolution. The SURE technique can also be used to design estimates without
predefining their structure. However, allowing for too many free parameters
impairs the performance of the resulting estimates. To address this inherent
tradeoff we propose a regularized SURE objective. Based on this design
criterion, we derive a wavelet denoising strategy that is similar in sprit to
the standard soft-threshold approach but can lead to improved MSE performance.Comment: to appear in the IEEE Transactions on Signal Processin
Robust State Space Filtering under Incremental Model Perturbations Subject to a Relative Entropy Tolerance
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 risk-sensitive filter with a time varying risk
sensitivity parameter, which depends on the tolerance bound applied to the
model dynamics and observations at the corresponding time index. The
least-favorable model is constructed and used to evaluate the performance of
alternative filters. Simulations comparing the proposed risk-sensitive filter
to a standard Kalman filter show a significant performance advantage when
applied to the least-favorable model, and only a small performance loss for the
nominal model
An Examination of Some Signi cant Approaches to Statistical Deconvolution
We examine statistical approaches to two significant areas of deconvolution - Blind
Deconvolution (BD) and Robust Deconvolution (RD) for stochastic stationary signals.
For BD, we review some major classical and new methods in a unified framework of
nonGaussian signals. The first class of algorithms we look at falls into the class
of Minimum Entropy Deconvolution (MED) algorithms. We discuss the similarities
between them despite differences in origins and motivations. We give new theoretical
results concerning the behaviour and generality of these algorithms and give evidence
of scenarios where they may fail. In some cases, we present new modifications to the
algorithms to overcome these shortfalls.
Following our discussion on the MED algorithms, we next look at a recently
proposed BD algorithm based on the correntropy function, a function defined as a
combination of the autocorrelation and the entropy functiosn. We examine its BD
performance when compared with MED algorithms. We find that the BD carried
out via correntropy-matching cannot be straightforwardly interpreted as simultaneous
moment-matching due to the breakdown of the correntropy expansion in terms
of moments. Other issues such as maximum/minimum phase ambiguity and computational
complexity suggest that careful attention is required before establishing the
correntropy algorithm as a superior alternative to the existing BD techniques.
For the problem of RD, we give a categorisation of different kinds of uncertainties
encountered in estimation and discuss techniques required to solve each individual
case. Primarily, we tackle the overlooked cases of robustification of deconvolution
filters based on estimated blurring response or estimated signal spectrum. We do
this by utilising existing methods derived from criteria such as minimax MSE with imposed uncertainty bands and penalised MSE. In particular, we revisit the Modified
Wiener Filter (MWF) which offers simplicity and flexibility in giving improved RDs
to the standard plug-in Wiener Filter (WF)
Optimal design of stimulus experiments for robust discrimination of biochemical reaction networks
Motivation: Biochemical reaction networks in the form of coupled ordinary differential equations (ODEs) provide a powerful modeling tool for understanding the dynamics of biochemical processes. During the early phase of modeling, scientists have to deal with a large pool of competing nonlinear models. At this point, discrimination experiments can be designed and conducted to obtain optimal data for selecting the most plausible model. Since biological ODE models have widely distributed parameters due to, e.g. biologic variability or experimental variations, model responses become distributed. Therefore, a robust optimal experimental design (OED) for model discrimination can be used to discriminate models based on their response probability distribution functions (PDFs). Results: In this work, we present an optimal control-based methodology for designing optimal stimulus experiments aimed at robust model discrimination. For estimating the time-varying model response PDF, which results from the nonlinear propagation of the parameter PDF under the ODE dynamics, we suggest using the sigma-point approach. Using the model overlap (expected likelihood) as a robust discrimination criterion to measure dissimilarities between expected model response PDFs, we benchmark the proposed nonlinear design approach against linearization with respect to prediction accuracy and design quality for two nonlinear biological reaction networks. As shown, the sigma-point outperforms the linearization approach in the case of widely distributed parameter sets and/or existing multiple steady states. Since the sigma-point approach scales linearly with the number of model parameter, it can be applied to large systems for robust experimental planning. Availability: An implementation of the method in MATLAB/AMPL is available at http://www.uni-magdeburg.de/ivt/svt/person/rf/roed.html. Contact: [email protected] Supplementary information: Supplementary data are are available at Bioinformatics online
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