{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/wasserstein-distributionally-robust-kalman","title":"Wasserstein Distributionally Robust Kalman Filtering","arxiv_id":"1809.08830","date":"2018-09-24","proceeding":"NeurIPS 2018 12","authors":["Soroosh Shafieezadeh-Abadeh","Viet Anh Nguyen","Daniel Kuhn","Peyman Mohajerin Esfahani"],"abstract":"We study a distributionally robust mean square error estimation problem over\na nonconvex Wasserstein ambiguity set containing only normal distributions. We\nshow that the optimal estimator and the least favorable distribution form a\nNash equilibrium. Despite the non-convex nature of the ambiguity set, we prove\nthat the estimation problem is equivalent to a tractable convex program. We\nfurther devise a Frank-Wolfe algorithm for this convex program whose\ndirection-searching subproblem can be solved in a quasi-closed form. Using\nthese ingredients, we introduce a distributionally robust Kalman filter that\nhedges against model risk.","url_abs":"http://arxiv.org/abs/1809.08830v3","url_pdf":"http://arxiv.org/pdf/1809.08830v3.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"wasserstein-distributionally-robust-kalman","repo_url":"https://github.com/sorooshafiee/WKF","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":{"status":"ok","spdx":"MIT"}}],"tasks":[{"task_slug":"form","task_name":"Form"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":"https://app.syntology.ai/?focus=1809.08830","mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}