Technical Program

Paper Detail

Paper:SAM-P2.11
Session:Detection and Estimation
Time:Tuesday, May 18, 15:30 - 17:30
Presentation: Poster
Topic: Sensor Array and Multichannel Signal Processing: Signal detection and estimation
Title: MINIMAX REGRET ESTIMATION IN LINEAR MODELS
Authors: Yonina C. Eldar; Technion-Israel Institute of Technology 
 Aharon Ben-Tal; Technion-Israel Institute of Technology 
 Arkadi Nemirovski; Technion-Israel Institute of Technology 
Abstract: We develop a new linear estimator for estimating an unknown vector x in a linear model, in the presence of bounded datauncertainties. The estimator is designed to minimize theworst-case regret across all bounded data vectors, namelythe worst-case difference between the MSE attainable using alinear estimator that does not know the true parameters x, andthe optimal MSE attained using a linear estimator that knowsx. We demonstrate through several examples that the minimaxregret estimator can significantly increase the performance overthe conventional least-squares estimator, as well as several other least-squares alternatives.
 
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