A robust stochastic identification algorithm in the presence of outliers

E. Bai
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Abstract

In this paper, an optimization-oriented approach is proposed for parameter identifications in the presence of outliers. The proposed approach assumes minimum statistical a priori information on the unknown outliers and is convergent. An efficient numerical algorithm is presented to implement the approach along with its convergence and complexity results.
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一种存在异常值的鲁棒随机识别算法
本文提出了一种面向优化的方法,用于存在异常值的参数辨识。该方法假定未知异常值的先验统计信息最小,具有收敛性。给出了一种有效的数值算法来实现该方法,并给出了收敛性和复杂度的结果。
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