Methods for minimax estimation under elementwise covariance uncertainty


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We consider the minimax estimation problem in the linear regression model under elementwise constraints imposed on the covariance matrix of the random parameters vector. Minimax estimates are designed using several approaches to the numerical solution of the dual problem, namely, the semidefinite programming method, the conditional gradient method and its modification with the Lagrange multipliers and regularization. The efficiency of the suggested methods is illustrated by the example of path restoration for a maneuvering target with a statistically uncertain acceleration.

Sobre autores

E. Platonov

Moscow Aviation Institute (National Research University)

Autor responsável pela correspondência
Email: en.platonov@gmail.com
Rússia, Moscow

K. Semenikhin

Moscow Aviation Institute (National Research University)

Email: en.platonov@gmail.com
Rússia, Moscow

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