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arXiv · 1902.09293

A Robust Unscented Transformation for Uncertain Moments

Hugo T. M. Kussaba·João Y. Ishihara·Leonardo R. A. X. Menezes
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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.

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Hugo T. M. Kussaba, João Y. Ishihara, Leonardo R. A. X. Menezes. 2019-02-25. A Robust Unscented Transformation for Uncertain Moments. https://doi.org/10.1016/j.jfranklin.2019.02.018

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