Abstract
Two approaches to the multiplication of an uncertain vector in R n by an exactly known matrix are considered. Namely, uncertain vectors can be localized either in boxes or in ellipsoids. The accuracy of these approaches is compared by measuring the volume of the final localization domain. The main result is that, under additional assumptions, the probability of the event that the ellipsoidal localization is preferable tends to 1 as n → ∞.
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Ovseevich, A.I. Stochastic approach to the comparison of ellipsoidal and interval estimates. Russ. J. Math. Phys. 16, 529–535 (2009). https://doi.org/10.1134/S1061920809040074
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DOI: https://doi.org/10.1134/S1061920809040074