On robust solutions to linear least squares problems affected by data uncertainty and implementation errors with application to stochastic signal modeling
Pınar, M. Ç.
Linear Algebra and Its Applications
223 - 243
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Engineering design problems, especially in signal and image processing, give rise to linear least squares problems arising from discretization of some inverse problem. The associated data are typically subject to error in these applications while the computed solution may only be implemented up to limited accuracy digits, i.e., quantized. In the present paper, we advocate the use of the robust counterpart approach of Ben-Tal and Nemirovski to address these issues simultaneously. Approximate robust counterpart problems are derived, which leads to semidefinite programming problems yielding stable solutions to overdetermined systems of linear equations affected by both data uncertainty and implementation errors, as evidenced by numerical examples from stochastic signal modeling.
Digital signal processing