Probabilistic Optimal Estimation and Filtering under Uncertainty

TL;DR

This paper introduces a probabilistic framework that blends stochastic and worst-case system identification methods, reducing conservatism by probabilistically discarding unlikely estimates, and provides algorithms and simulations demonstrating its effectiveness.

Contribution

It develops a new probabilistic approach to optimal estimation that balances worst-case guarantees with stochastic risk, including algorithms and a trade-off analysis.

Findings

The proposed method reduces estimation conservatism.

Algorithms effectively approximate the trade-off curve.

Simulations validate the approach's advantages.

Abstract

The classical approach to system identification is based on stochastic assumptions about the measurement error, and provides estimates that have random nature. Worst-case identification, on the other hand, only assumes the knowledge of deterministic error bounds, and establishes guaranteed estimates, thus being in principle better suited for the use in control design. However, a main limitation of such deterministic bounds lies on their potential conservatism, thus leading to estimates of restricted use. In this paper, we propose a rapprochement between the stochastic and worst-case paradigms. In particular, based on a probabilistic framework for linear estimation problems, we derive new computational results. These results combine elements from information-based complexity with recent developments in the theory of randomized algorithms. The main idea in this line of research is to "discard" sets of measure at most \epsilon, where \epsilon is a probabilistic accuracy, from the set of deterministic estimates. Therefore, we are decreasing the so-called worst-case radius of information at the expense of a given probabilistic ``risk." In this setting, we compute a trade-off curve, called violation function, which shows how the radius of information decreases as a function of the accuracy. To this end, we construct randomized and deterministic algorithms which provide approximations of this function. We report extensive simulations showing numerical comparisons between the stochastic, worst-case and probabilistic approaches, thus demonstrating the efficacy of the methods proposed in this paper.