Parameter estimation with expected and residual-at-risk criteria

Systems and Control Letters

Volumn 58, Issue 1, 2009, Pages 39-46

  Calafiore, Giuseppe ^a   Topcu, Ufuk ^b   El Ghaoui, Laurent ^c  

^a POLITECNICO DI TORINO   (Italy)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

1 norm approximation; Random uncertainty; Robust convex optimization; Uncertain least squares; Value at risk

Indexed keywords

LEAST SQUARES APPROXIMATIONS; OPTIMIZATION; PARAMETER ESTIMATION; PROBABILITY; PROBABILITY DISTRIBUTIONS; RANDOM PROCESSES;

CONVEX PROGRAMMINGS; ESTIMATION PROBLEMS; EXACT SOLUTIONS; LINEAR ESTIMATIONS; OPTIMAL SOLUTIONS; RANDOM UNCERTAINTIES; RANDOM UNCERTAINTY; ROBUST CONVEX OPTIMIZATION; STATISTICAL MOMENTS; UNCERTAIN LEAST-SQUARES; VALUE AT RISK;

RISK PERCEPTION;

EID: 57249115919     PISSN: 01676911     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.sysconle.2008.07.007     Document Type: Article

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