Conservative Linear Unbiased Estimation Under Partially Known Covariances

Forsling, Robin,1988-Linköpings universitet,Reglerteknik,Tekniska fakulteten (författare)

Funding Agencies|Center for Industrial Information Technology at Linkoping University [17.12]; Industry Excellence Center LINK-SIC - Swedish Governmental Agency for Innovation Systems; Saab AB; Project Scalable Kalman filters - Swedish Research Council
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.

TEKNIK OCH TEKNOLOGIER Elektroteknik och elektronik Reglerteknik hsv//swe
ENGINEERING AND TECHNOLOGY Electrical Engineering, Electronic Engineering, Information Engineering Control Engineering hsv//eng
Estimation
Optimization
Correlation
Uncertainty
Linear regression
Linear matrix inequalities
Symmetric matrices; Conservative estimation; robust optimization; unknown cross-correlations; covariance intersection; decentralized estimation

Hansson, Anders,Professor,1964-Linköpings universitet,Reglerteknik,Tekniska fakulteten(Swepub:liu)andha17 (författare)
Gustafsson, Fredrik,1964-Linköpings universitet,Reglerteknik,Tekniska fakulteten(Swepub:liu)fregu23 (författare)
Sjanic, Zoran,1975-Linköpings universitet,Reglerteknik,Tekniska fakulteten(Swepub:liu)zorsj26 (författare)
Löfberg, Johan,1974-Linköpings universitet,Reglerteknik,Tekniska fakulteten(Swepub:liu)johlo46 (författare)
Hendeby, Gustaf,Associate Professor,1978-Linköpings universitet,Reglerteknik,Tekniska fakulteten(Swepub:liu)gushe66 (författare)
Linköpings universitetReglerteknik (creator_code:org_t)

Ingår i:IEEE Transactions on Signal Processing: IEEE70, s. 3123-31351053-587X1941-0476

Av författaren/redakt...: Forsling, Robin, ...; Hansson, Anders, ...; Gustafsson, Fred ...; Sjanic, Zoran, 1 ...; Löfberg, Johan, ...; Hendeby, Gustaf, ...

Om ämnet

TEKNIK OCH TEKNOLOGIER: TEKNIK OCH TEKNO ...; och Elektroteknik oc ...; och Reglerteknik

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