相关论文: Optimally (Distributional-)Robust Kalman Filtering

This paper examines learning the optimal filtering policy, known as the Kalman gain, for a linear system with unknown noise covariance matrices using noisy output data. The learning problem is formulated as a stochastic policy optimization…

A hybrid particle ensemble Kalman filter is developed for problems with medium non-Gaussianity, i.e. problems where the prior is very non-Gaussian but the posterior is approximately Gaussian. Such situations arise, e.g., when nonlinear…

This paper presents a new filter for state-space models based on Bellman's dynamic-programming principle, allowing for nonlinearity, non-Gaussianity and degeneracy in the observation and/or state-transition equations. The resulting Bellman…

This paper fortifies the recently introduced hierarchical-optimization recursive least squares (HO-RLS) against outliers which contaminate infrequently linear-regression models. Outliers are modeled as nuisance variables and are estimated…

Most value function learning algorithms in reinforcement learning are based on the mean squared (projected) Bellman error. However, squared errors are known to be sensitive to outliers, both skewing the solution of the objective and…

In this work, we study the $k$-median and $k$-means clustering problems when the data is distributed across many servers and can contain outliers. While there has been a lot of work on these problems for worst-case instances, we focus on…

Kernel embeddings of distributions have recently gained significant attention in the machine learning community as a data-driven technique for representing probability distributions. Broadly, these techniques enable efficient computation of…

In many applications, when building linear regression models, it is important to account for the presence of outliers, i.e., corrupted input data points. Such problems can be formulated as mixed-integer optimization problems involving cubic…

We study statistical inference and distributionally robust solution methods for stochastic optimization problems, focusing on confidence intervals for optimal values and solutions that achieve exact coverage asymptotically. We develop a…

State-space models (SSMs) provide a flexible framework for modelling time series data, but their reliance on Gaussian error assumptions makes them highly sensitive to outliers. We propose a robust estimation method, ROAMS, that mitigates…

We introduce a novel kind of robustness in linear programming. A solution x* is called robust optimal if for all realizations of objective functions coefficients and constraint matrix entries from given interval domains there are…

We study the out-of-sample properties of robust empirical optimization problems with smooth $\phi$-divergence penalties and smooth concave objective functions, and develop a theory for data-driven calibration of the non-negative "robustness…

In real world, our datasets often contain outliers. Moreover, the outliers can seriously affect the final machine learning result. Most existing algorithms for handling outliers take high time complexities (e.g. quadratic or cubic…

Filtering is a widely used methodology for the incorporation of observed data into time-evolving systems. It provides an online approach to state estimation inverse problems when data is acquired sequentially. The Kalman filter plays a…

We present a stochastic predictive controller for discrete time linear time invariant systems under incomplete state information. Our approach is based on a suitable choice of control policies, stability constraints, and employment of a…

Using a perturbation technique, we derive a new approximate filtering and smoothing methodology generalizing along different directions several existing approaches to robust filtering based on the score and the Hessian matrix of the…

In the classical contamination models, such as the gross-error (Huber and Tukey contamination model or Case-wise Contamination), observations are considered as the units to be identified as outliers or not. This model is very useful when…

We provide a framework for incorporating robustness -- to perturbations in the transition dynamics which we refer to as model misspecification -- into continuous control Reinforcement Learning (RL) algorithms. We specifically focus on…

In this study, we tackle the challenge of outlier-robust predictive modeling using highly expressive neural networks. Our approach integrates two key components: (1) a transformed trimmed loss (TTL), a computationally efficient variant of…

The capability of a novel Kullback-Leibler divergence method is examined herein within the Kalman filter framework to select the input-parameter-state estimation execution with the most plausible results. This identification suffers from…