Maximum correntropy unscented filter

DOI10.1080/00207721.2016.1277407zbMATH Open1362.93155arXiv1608.07526OpenAlexW2513248895MaRDI QIDQ5347378FDOQ5347378

Paul Honeine, Badong Chen, Bin Xu, Zongze Wu, Xi Liu

Publication date: 23 May 2017

Published in: International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Abstract: The unscented transformation (UT) is an efficient method to solve the state estimation problem for a non-linear dynamic system, utilizing a derivative-free higher-order approximation by approximating a Gaussian distribution rather than approximating a non-linear function. Applying the UT to a Kalman filter type estimator leads to the well-known unscented Kalman filter (UKF). Although the UKF works very well in Gaussian noises, its performance may deteriorate significantly when the noises are non-Gaussian, especially when the system is disturbed by some heavy-tailed impulsive noises. To improve the robustness of the UKF against impulsive noises, a new filter for nonlinear systems is proposed in this work, namely the maximum correntropy unscented filter (MCUF). In MCUF, the UT is applied to obtain the prior estimates of the state and covariance matrix, and a robust statistical linearization regression based on the maximum correntropy criterion (MCC) is then used to obtain the posterior estimates of the state and covariance. The satisfying performance of the new algorithm is confirmed by two illustrative examples.

Full work available at URL: https://arxiv.org/abs/1608.07526

zbMATH Keywords

unscented Kalman filter (UKF)maximum correntropy criterion (MCC)unscented transformation (UT)

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Robust Estimation of a Location Parameter
• Correntropy: Properties and Applications in Non-Gaussian Signal Processing
• Robust recursive estimation in the presence of heavy-tailed observation noise
• Information Theoretic Learning
• A new method for the nonlinear transformation of means and covariances in filters and estimators
• Gaussian particle filtering
• Robust Principal Component Analysis Based on Maximum Correntropy Criterion
• Maximum correntropy Kalman filter
• Robust Recognition via Information Theoretic Learning

Cited In (16)

• Maximum correntropy unscented Kalman and information filters for non-Gaussian measurement noise
• Non-iterative Cauchy kernel-based maximum correntropy cubature Kalman filter for non-Gaussian systems
• Maximum Total Complex Correntropy for Adaptive Filter
• Latent Constrained Correlation Filter
• 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
• Maximum-correntropy-based sequential method for fast neural population activity reconstruction in the cortex from incomplete abnormally-disturbed noisy measurements
• Robust stable iterated unscented Kalman filter based on maximum correntropy criterion
• Laplace \(\ell_1\) square-root cubature Kalman filter for non-Gaussian measurement noises
• Maximum correntropy-based pseudolinear Kalman filter for passive bearings-only target tracking
• Distributed filtering based on Cauchy-kernel-based maximum correntropy subject to randomly occurring cyber-attacks
• Distributed maximum correntropy unscented Kalman filter under hybrid attacks in non-Gaussian environment
• Attitude estimation based on robust information cubature quaternion filter
• Rational-quadratic kernel-based maximum correntropy Kalman filter for the non-Gaussian noises
• Cauchy kernel-based maximum correntropy Kalman filter

This page was built for publication: Maximum correntropy unscented filter

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5347378)