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We present some optimality results for robust Kalman filtering. To this end, we introduce the general setup of state space models which will not be limited to a Euclidean or time-discrete framework. We pose the problem of state reconstruction and repeat the classical existing algorithms in this context. We then extend the ideal-model setup allowing for outliers which in this context may be system-endogenous or -exogenous, inducing the somewhat conflicting goals of tracking and attenuation. In quite a general framework, we solve corresponding minimax MSE-problems for both types of outliers separately, resulting in saddle-points consisting of an optimally-robust procedure and a corresponding least favorable outlier situation. Still insisting on recursivity, we obtain an operational solution, the rLS filter and variants of it. Exactly robust-optimal filters would need knowledge of certain hard-to-compute conditional means in the ideal model; things would be much easier if these conditional means were linear. Hence, it is important to quantify the deviation of the exact conditional mean from linearity. We obtain a somewhat surprising characterization of linearity for the conditional expectation in this setting. Combining both optimal filter types (for system-endogenous and -exogenous situation) we come up with a delayed hybrid filter which is able to treat both types of outliers simultaneously. Keywords: robustness, Kalman Filter, innovation outlier, additive outlier
In this paper a new trend is introduced into the field of multicriteria location problems. We combine the robustness approach using the minmax regret criterion together with Pareto-optimality. We consider the multicriteria Weber location problem which consists of simultaneously minimizing a number of weighted sum-distance functions and the set of Pareto-optimal locations as its solution concept. For this problem, we characterize the Pareto-optimal solutions within the set of robust locations for the original weighted sum-distance functions. These locations have both the properties of stability and non-domination which are required in robust and multicriteria programming.
Sequential Consistency (SC) is the memory model traditionally applied by programmers and verification tools for the analysis of multithreaded programs.
SC guarantees that instructions of each thread are executed atomically and in program order.
Modern CPUs implement memory models that relax the SC guarantees: threads can execute instructions out of order, stores to the memory can be observed by different threads in different order.
As a result of these relaxations, multithreaded programs can show unexpected, potentially undesired behaviors, when run on real hardware.
The robustness problem asks if a program has the same behaviors under SC and under a relaxed memory model.
Behaviors are formalized in terms of happens-before relations — dataflow and control-flow relations between executed instructions.
Programs that are robust against a memory model produce the same results under this memory model and under SC.
This means, they only need to be verified under SC, and the verification results will carry over to the relaxed setting.
Interestingly, robustness is a suitable correctness criterion not only for multithreaded programs, but also for parallel programs running on computer clusters.
Parallel programs written in Partitioned Global Address Space (PGAS) programming model, when executed on cluster, consist of multiple processes, each running on its cluster node.
These processes can directly access memories of each other over the network, without the need of explicit synchronization.
Reorderings and delays introduced on the network level, just as the reorderings done by the CPUs, may result into unexpected behaviors that are hard to reproduce and fix.
Our first contribution is a generic approach for solving robustness against relaxed memory models.
The approach involves two steps: combinatorial analysis, followed by an algorithmic development.
The aim of combinatorial analysis is to show that among program computations violating robustness there is always a computation in a certain normal form, where reorderings are applied in a restricted way.
In the algorithmic development we work out a decision procedure for checking whether a program has violating normal-form computations.
Our second contribution is an application of the generic approach to widely implemented memory models, including Total Store Order used in Intel x86 and Sun SPARC architectures, the memory model of Power architecture, and the PGAS memory model.
We reduce robustness against TSO to SC state reachability for a modified input program.
Robustness against Power and PGAS is reduced to language emptiness for a novel class of automata — multiheaded automata.
The reductions lead to new decidability results.
In particular, robustness is PSPACE-complete for all the considered memory models.