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Conservative Linear...
Conservative Linear Unbiased Estimation Under Partially Known Covariances
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- Forsling, Robin, 1988- (author)
- Linköpings universitet,Reglerteknik,Tekniska fakulteten
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- Hansson, Anders, Professor, 1964- (author)
- Linköpings universitet,Reglerteknik,Tekniska fakulteten
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- Gustafsson, Fredrik, 1964- (author)
- Linköpings universitet,Reglerteknik,Tekniska fakulteten
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- Sjanic, Zoran, 1975- (author)
- Linköpings universitet,Reglerteknik,Tekniska fakulteten
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- Löfberg, Johan, 1974- (author)
- Linköpings universitet,Reglerteknik,Tekniska fakulteten
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- Hendeby, Gustaf, Associate Professor, 1978- (author)
- Linköpings universitet,Reglerteknik,Tekniska fakulteten
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(creator_code:org_t)
- IEEE, 2022
- 2022
- English.
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In: IEEE Transactions on Signal Processing. - : IEEE. - 1053-587X .- 1941-0476. ; 70, s. 3123-3135
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https://urn.kb.se/re...
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Abstract
Subject headings
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- Mean square error optimal estimation requires the full correlation structure to be available. Unfortunately, it is not always possible to maintain full knowledge about the correlations. One example is decentralized data fusion where the cross-correlations between estimates are unknown, partly due to information sharing. To avoid underestimating the covariance of an estimate in such situations, conservative estimation is one option. In this paper the conservative linear unbiased estimator is formalized including optimality criteria. Fundamental bounds of the optimal conservative linear unbiased estimator are derived. A main contribution is a general approach for computing the proposed estimator based on robust optimization. Furthermore, it is shown that several existing estimation algorithms are special cases of the optimal conservative linear unbiased estimator. An evaluation verifies the theoretical considerations and shows that the optimization based approach performs better than existing conservative estimation methods in certain cases.
Subject headings
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)
Keyword
- Estimation
- Optimization
- Correlation
- Uncertainty
- Linear regression
- Linear matrix inequalities
- Symmetric matrices; Conservative estimation; robust optimization; unknown cross-correlations; covariance intersection; decentralized estimation
Publication and Content Type
- ref (subject category)
- art (subject category)
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Forsling, Robin, ...
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Hansson, Anders, ...
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Gustafsson, Fred ...
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Sjanic, Zoran, 1 ...
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Löfberg, Johan, ...
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Hendeby, Gustaf, ...
- About the subject
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- ENGINEERING AND TECHNOLOGY
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ENGINEERING AND ...
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and Electrical Engin ...
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and Control Engineer ...
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IEEE Transaction ...
- By the university
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Linköping University