Doubly Robust Smoothing of Dynamical Processes via Outlier Sparsity Constraints

  title={Doubly Robust Smoothing of Dynamical Processes via Outlier Sparsity Constraints},
  author={Shahrokh Farahmand and Georgios B. Giannakis and Daniele Angelosante},
  journal={IEEE Transactions on Signal Processing},
Coping with outliers contaminating dynamical processes is of major importance in various applications because mismatches from nominal models are not uncommon in practice. In this context, the present paper develops novel fixed-lag and fixed-interval smoothing algorithms that are robust to outliers simultaneously present in the measurements and in the state dynamics. Outliers are handled through auxiliary unknown variables that are jointly estimated along with the state based on the least… CONTINUE READING
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