Robust Hypothesis Testing With a Relative Entropy Tolerance

被引：37
|
作者：
Levy, Bernard C. [1 ]
机构：
[1] Univ Calif Davis, Dept Elect & Comp Engn, Davis, CA 95616 USA
来源：
IEEE TRANSACTIONS ON INFORMATION THEORY | 2009年 / 55卷 / 01期
关键词：
Kullback-Leibler divergence; least favorable densities; min-max problem; robust hypothesis testing; saddle point; BINARY-INPUT CHANNELS; NOISE;
D O I：
10.1109/TIT.2008.2008128
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper considers the design of a minimax test for two hypotheses where the actual probability densities of the observations are located in neighborhoods obtained by placing a bound on the relative entropy between actual and nominal densities. The minimax problem admits a saddle point which is characterized. The robust test applies a nonlinear transformation which flattens the nominal likelihood ratio in the vicinity of one. Results are illttstrated by considering the transmission of binary data in the presence of additive noise.
引用
收藏
页码：413 / 421
页数：9
相关论文
共 50 条
  • [21] Relative entropy, exponential utility, and robust dynamic pricing
    Lim, Andrew E. B.
    Shanthikumar, J. George
    OPERATIONS RESEARCH, 2007, 55 (02) : 198 - 214
  • [22] Hypothesis testing for reliability with a three-parameter Weibull distribution using minimum weighted relative entropy norm and bootstrap
    Xia, Xin-tao
    Jin, Yin-ping
    Xu, Yong-zhi
    Shang, Yan-tao
    Chen, Long
    JOURNAL OF ZHEJIANG UNIVERSITY-SCIENCE C-COMPUTERS & ELECTRONICS, 2013, 14 (02): : 143 - 154
  • [23] Hypothesis testing for reliability with a three-parameter Weibull distribution using minimum weighted relative entropy norm and bootstrap
    Xin-tao XIA
    Yin-ping JIN
    Yong-zhi XU
    Yan-tao SHANG
    Long CHEN
    Frontiers of Information Technology & Electronic Engineering, 2013, 14 (02) : 143 - 154
  • [24] Hypothesis testing for reliability with a three-parameter Weibull distribution using minimum weighted relative entropy norm and bootstrap
    Xin-tao Xia
    Yin-ping Jin
    Yong-zhi Xu
    Yan-tao Shang
    Long Chen
    Journal of Zhejiang University SCIENCE C, 2013, 14 : 143 - 154
  • [25] Glucose Tolerance: Hypothesis Testing on Malaysian Diabetic Community
    Gillani, Syed Wasif
    Sari, Yelly Oktavia
    Sulaiman, Syed Azhar Syed
    Baig, Mirza R.
    CURRENT DIABETES REVIEWS, 2014, 10 (05) : 311 - 326
  • [26] Quantum hypothesis testing via robust quantum control
    Xu, Han
    Wang, Benran
    Yuan, Haidong
    Wang, Xin
    NEW JOURNAL OF PHYSICS, 2023, 25 (11):
  • [27] Robust Hypothesis Testing Using Wasserstein Uncertainty Sets
    Gao, Rui
    Xie, Liyan
    Xie, Yao
    Xu, Huan
    ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 31 (NIPS 2018), 2018, 31
  • [28] Robust Hypothesis Testing with the Itakura-Saito Divergence
    Zhou, Feng
    Song, Enbin
    Zhu, Yunmin
    2017 20TH INTERNATIONAL CONFERENCE ON INFORMATION FUSION (FUSION), 2017, : 1561 - 1566
  • [29] ROBUST BINARY HYPOTHESIS TESTING UNDER CONTAMINATED LIKELIHOODS
    Wei, Dennis
    Varshney, Kush R.
    2015 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING (ICASSP), 2015, : 3407 - 3411
  • [30] Robust hypothesis testing and distribution estimation in Hellinger distance
    Suresh, Ananda Theertha
    24TH INTERNATIONAL CONFERENCE ON ARTIFICIAL INTELLIGENCE AND STATISTICS (AISTATS), 2021, 130
12345