Regret-Optimal Filtering for Prediction and Estimation

The filtering problem of causally estimating a desired signal from a related observation signal is investigated through the lens of regret optimization. Classical filter designs, such as mathcal H2 (Kalman) and mathcal H_∞, minimize the average and worst-case estimation errors, respectively. As a result mathcal H2 filters are sensitive to inaccuracies in the underlying statistical model, and mathcal H_∞ filters are overly conservative since they safeguard against the worst-case scenario. We propose instead to minimize the regret in order to design filters that perform well in different noise regimes by comparing their performance with that of a clairvoyant filter. More explicitly, we minimize the largest deviation of the squared estimation error of a causal filter from that of a non-causal filter that has access to future observations. In this sense, the regret-optimal filter will have the best competitive performance with respect to the non-causal benchmark filter no matter what the true signal and the observation process are. For the important case of signals that can be described with a time-invariant state-space, we provide an explicit construction for the regret optimal filter in the estimation (causal) and the prediction (strictly-causal) regimes. These solutions are obtained by reducing the regret filtering problem to a Nehari problem, i.e., approximating a non-causal operator by a causal one in spectral norm. The regret-optimal filters bear some resemblance to Kalman and H_∞ filters: they are expressed as state-space models, inherit the finite dimension of the original state-space, and their solutions require solving algebraic Riccati equations. Numerical simulations demonstrate that regret minimization inherently interpolates between the performances of the H2 and H_∞ filters and is thus a viable approach for filter design.