Abstract:A robust fixed-lag smoothing approach is proposed in the case there is a mismatch between the nominal model and the actual model. The resulting robust smoother is characterized by a dynamic game between two players: one player selects the least favorable model in a prescribed ambiguity set, while the other player selects the fixed-lag smoother minimizing the smoothing error with respect to least favorable model. We propose an efficient implementation of the proposed smoother. Moreover, we characterize the corr… Show more
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