Diffusion approximation and robust Kalman filter

MaRDI QIDQ4029270zbMATH OpenFDO

Authors R. Liptser, S. V. Lototsky

Publication date 10 March 1993

zbMATH Keywords

diffusion approximation methodKalman filter

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Filtering in stochastic control theory (93E11)

Review text

In Kalman filter applications, when the measurement noise is non-Gaussian with a heavy-tailed distribution, the performance of the filter becomes poor. In this paper, the authors show that, in such cases, the use of a limiter type nonlinear transformation on the measurement is justifiable. In fact, they prove by using diffusion approximation method that there exists a ``nearly optimal limiter to implement.

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Cited in

(6)

• The diffuse Kalman filter
• The Kantorovich inequality for error analysis of the Kalman filter with unknown noise distributions
• Diffuse Restricted Kalman Filtering
• Application of Kalman filter with alpha-stable distribution
• Point estimation, stochastic approximation, and robust Kalman filtering
• INITIALIZATION OF THE KALMAN FILTER WITH PARTIALLY DIFFUSE INITIAL CONDITIONS

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