A robust unscented transformation for uncertain moments |
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| Authors: | Hugo TM Kussaba João Y Ishihara Leonardo RAX Menezes |
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| Institution: | Department of Electrical Engineering, University of Brasília –UnB, Brasília 70910-900, DF, Brazil |
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| Abstract: | This paper proposes a robust version of the unscented transform (UT) for one-dimensional random variables. It is assumed that the moments are not exactly known, but are known to lie in intervals. In this scenario, the moment matching equations are reformulated as a system of polynomial equations and inequalities, and it is proposed to use the Chebychev center of the solution set as a robust UT. This method yields a parametrized polynomial optimization problem, which in spite of being NP-Hard, can be relaxed by some algorithms that are proposed in this paper. |
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| Keywords: | Corresponding author |
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