A robust unscented transformation for uncertain moments

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.