Optimal State Estimation with Measurements Corrupted by Laplace Noise

Abstract: Optimal state estimation for linear discrete-time systems is considered. Motivated by the literature on differential privacy, the measurements are assumed to be corrupted by Laplace noise. The optimal least mean square error estimate of the state is approximated using a randomized method. The method relies on that the Laplace noise can be rewritten as Gaussian noise scaled by Rayleigh random variable. The probability of the event that the distance between the approximation and the best estimate is smaller than a constant is determined as function of the number of parallel Kalman filters that is used in the randomized method. This estimator is then compared with the optimal linear estimator, the maximum a posteriori (MAP) estimate of the state, and the particle filter.