Maximum correntropy Kalman filter
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Abstract: Traditional Kalman filter (KF) is derived under the well-known minimum mean square error (MMSE) criterion, which is optimal under Gaussian assumption. However, when the signals are non-Gaussian, especially when the system is disturbed by some heavy-tailed impulsive noises, the performance of KF will deteriorate seriously. To improve the robustness of KF against impulsive noises, we propose in this work a new Kalman filter, called the maximum correntropy Kalman filter (MCKF), which adopts the robust maximum correntropy criterion (MCC) as the optimality criterion, instead of using the MMSE. Similar to the traditional KF, the state mean and covariance matrix propagation equations are used to give prior estimations of the state and covariance matrix in MCKF. A novel fixed-point algorithm is then used to update the posterior estimations. A sufficient condition that guarantees the convergence of the fixed-point algorithm is given. Illustration examples are presented to demonstrate the effectiveness and robustness of the new algorithm.
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Cited in
(54)- Maximum correntropy unscented filter
- Learning with correntropy-induced losses for regression with mixture of symmetric stable noise
- Maximum correntropy unscented Kalman and information filters for non-Gaussian measurement noise
- Hierarchical dynamical model for multiple cortical neural decoding
- Novel interacting multiple model filter for uncertain target tracking systems based on weighted Kullback-Leibler divergence
- Mixed-degree spherical simplex-radial cubature Kalman filter
- Sequential maximum correntropy Kalman filtering
- Distributed robust regression with correntropy losses and regularization kernel networks
- Robust adaptive Volterra filter under maximum correntropy criteria in impulsive environments
- Non-iterative Cauchy kernel-based maximum correntropy cubature Kalman filter for non-Gaussian systems
- Maximum correntropy adaptation approach for robust compressive sensing reconstruction
- Variational robust filter for a class of stochastic systems with false and missing measurements
- Q-learning for noise covariance adaptation in extended Kalman filter
- Robust particle filtering with enhanced outlier resilience and real-time disturbance compensation
- Outlier-robust Kalman filters with mixture correntropy
- Improved maximum correntropy cubature Kalman and information filters with application to target tracking under non-Gaussian noise
- Maximum correntropy square root Gauss-Hermite quadrature information filter for multiple sensor estimation
- Two efficient Kalman filter algorithms for measurement packet dropping systems under maximum correntropy criterion
- The correntropy MACE filter
- A new heavy-tailed robust Kalman filter with time-varying process bias
- Robust stable iterated unscented Kalman filter based on maximum correntropy criterion
- Maximum-correntropy-based sequential method for fast neural population activity reconstruction in the cortex from incomplete abnormally-disturbed noisy measurements
- Maximum‐correntropy‐based Kalman filtering for time‐varying systems with randomly occurring uncertainties: An event‐triggered approach
- Laplace \(\ell_1\) square-root cubature Kalman filter for non-Gaussian measurement noises
- Chaotic synchronization based on neural filter
- Towards enhancing stacked extreme learning machine with sparse autoencoder by correntropy
- A novel robust Kalman filter with unknown non-stationary heavy-tailed noise
- Upper bounds for Rao distance on the manifold of multivariate elliptical distributions
- Robust adaptive filtering based on M-estimation-based minimum error entropy criterion
- Maximum correntropy-based pseudolinear Kalman filter for passive bearings-only target tracking
- A noise-immune Kalman filter for short-term traffic flow forecasting
- Fast rates of minimum error entropy with heavy-tailed noise
- Mixture quantized error entropy for recursive least squares adaptive filtering
- Square-root algorithms for maximum correntropy estimation of linear discrete-time systems in presence of non-Gaussian noise
- Quadratic covariance‐constrained filtering for linear and non‐linear systems with non‐Gaussian noises
- Distributed filtering based on Cauchy-kernel-based maximum correntropy subject to randomly occurring cyber-attacks
- A type-3 logic fuzzy system: optimized by a correntropy based Kalman filter with adaptive fuzzy kernel size
- Quadratic filtering for non-Gaussian stochastic parameter systems with buffer-aided strategy
- Recursive least mean \(p\)-power extreme learning machine
- New insights into learning with correntropy-based regression
- Regularized correntropy criterion based semi-supervised ELM
- Noise-aware clustering based on maximum correntropy criterion and adaptive graph regularization
- Adaptive fractional-order unscented Kalman filter with unknown noise statistics
- Novel iterative cubature Kalman filters under maximum correntropy criterion for the robust state estimation
- Distributed maximum correntropy unscented Kalman filter under hybrid attacks in non-Gaussian environment
- Weighted information entropy-based Kalman filter for outliers and structural noise
- Robust maximum correntropy Kalman filter
- Rational-quadratic kernel-based maximum correntropy Kalman filter for the non-Gaussian noises
- Steady-state tracking analysis of adaptive filter with maximum correntropy criterion
- Improving the robustness of recursive consequent parameters learning in evolving neuro-fuzzy systems
- Cauchy kernel-based maximum correntropy Kalman filter
- Variational Bayesian adaptation of process noise covariance matrix in Kalman filtering
- Recursive least mean dual p-power solution to the generalization of evolving fuzzy system under multiple noises
- Switching Gaussian-heavy-tailed distribution based robust Gaussian approximate filter for INS/GNSS integration
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