Wasserstein Distributionally Robust Kalman Filtering

Soroosh Shafieezadeh-Abadeh; Viet Anh Nguyen; Daniel Kuhn; Peyman Mohajerin Esfahani

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arXiv · 1809.08830

Wasserstein Distributionally Robust Kalman Filtering

Soroosh Shafieezadeh-Abadeh·Viet Anh Nguyen·Daniel Kuhn·Peyman Mohajerin Esfahani

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Abstract

We study a distributionally robust mean square error estimation problem over a nonconvex Wasserstein ambiguity set containing only normal distributions. We show that the optimal estimator and the least favorable distribution form a Nash equilibrium. Despite the non-convex nature of the ambiguity set, we prove that the estimation problem is equivalent to a tractable convex program. We further devise a Frank-Wolfe algorithm for this convex program whose direction-searching subproblem can be solved in a quasi-closed form. Using these ingredients, we introduce a distributionally robust Kalman filter that hedges against model risk.

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BibTeX RIS

Soroosh Shafieezadeh-Abadeh, Viet Anh Nguyen, Daniel Kuhn, Peyman Mohajerin Esfahani. 2018-09-24. Wasserstein Distributionally Robust Kalman Filtering. https://arxiv.org/abs/1809.08830

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