Competitive linear MMSE estimation under structured data uncertainties [Yapisal veri belirsizlikleri altinda yarişmaci doǧrusal mmse kestirim]
Denizcan Vanli, N.
2014 22nd Signal Processing and Communications Applications Conference, SIU 2014 - Proceedings
IEEE Computer Society
1861 - 1864
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Please cite this item using this persistent URLhttp://hdl.handle.net/11693/27696
In this paper, we consider the linear estimation problem under structured data uncertainties. A robust algorithm is presented under bounded uncertainties under the mean square error (MSE) criterion. The performance of the linear estimator is defined relative to the performance of the linear minimum MSE (MMSE) estimator tuned to the underlying unknown data uncertainties, i.e., the introduced algorithm has a competitive framework. Then, using this relative performance measure, we find the estimator that minimizes this cost for the worst-case system model. We show that finding this estimator can equivalently be cast as a semidefinite programming (SDP) problem. Numerical examples are provided to illustrate the theoretical results. © 2014 IEEE.