Concept
M-estimateur
Publications associées (164)
Reliable data-driven decision-making through optimal transport
Decision-making permeates every aspect of human and societal development, from individuals' daily choices to the complex decisions made by communities and institutions. Central to effective decision-making is the discipline of optimization, which seeks the ...
EPFL2024A Geometric Unification of Distributionally Robust Covariance Estimators: Shrinking the Spectrum by Inflating the Ambiguity Set
Daniel Kuhn, Yves Rychener, Viet Anh Nguyen
The state-of-the-art methods for estimating high-dimensional covariance matrices all shrink the eigenvalues of the sample covariance matrix towards a data-insensitive shrinkage target. The underlying shrinkage transformation is either chosen heuristically ...
2024Regularization for distributionally robust state estimation and prediction
Giancarlo Ferrari Trecate, Florian Dörfler, Jean-Sébastien Hubert Brouillon
The increasing availability of sensing techniques provides a great opportunity for engineers to design state estimation methods, which are optimal for the system under observation and the observed noise patterns. However, these patterns often do not fulfil ...
2023