Linear minimax estimation for random vectors with parametric uncertainty

In this paper, we take a minimax approach to the problem of computing a worst-case linear mean squared error (MSE) estimate of X given Y , where X and Y are jointly distributed random vectors with parametric uncertainty in their distribution. We consider two uncertainty models, P_A and P_B. Model P_A represents X and Y as jointly Gaussian whose covariance matrix Λ belongs to the convex hull of a set of m known covariance matrices. Model P_B characterizes X and Y as jointly distributed according to a Gaussian mixture model with m known zero-mean components, but unknown component weights. We show: (a) the linear minimax estimator computed under model P_A is identical to that computed under model P_B when the vertices of the uncertain covariance set in P_A are the same as the component covariances in model P_B, and (b) the problem of computing the linear minimax estimator under either model reduces to a semidefinite program (SDP). We also consider the dynamic situation where x(t) and y(t) evolve according to a discrete-time LTI state space model driven by white noise, the statistics of which is modeled by P_A and P_B as before. We derive a recursive linear minimax filter for x(t) given y(t).