Robust Linear Estimation with Non-parametric Uncertainty: Average and Worst-case Performance (Full Version)

Abstract: In this paper, two types of linear estimators are considered for three related estimation problems involving set-theoretic uncertainty pertaining to $\mathcal{H}{2}$ and $\mathcal{H}{\infty}$ balls of frequency-responses. The problems at stake correspond to robust $\mathcal{H}{2}$ and $\mathcal{H}{\infty}$ in the face of non-parametric "channel-model" uncertainty and to a nominal $\mathcal{H}{\infty}$ estimation problem. The estimators considered here are defined by minimizing the worst-case squared estimation error over the "uncertainty set" and by minimizing an average cost under the constraint that the worst-case error of any admissible estimator does not exceed a prescribed value. The main point is to explore the derivation of estimators which may be viewed as less conservative alternatives to minimax estimators, or in other words, that allow for trade-offs between worst-case performance and better performance over "large" subsets of the uncertainty set. The "average costs" over $\mathcal{H}{2}-$signal balls are obtained as limits of averages over sets of finite impulse responses, as their length grows unbounded. The estimator design problems for the two types of estimators and the three problems addressed here are recast as semi-definite programming problems (SDPs, for short). These SDPs are solved in the case of simple examples to illustrate the potential of the "average cost/worst-case constraint" estimators to mitigate the inherent conservatism of the minimax estimators.