Maximum correntropy unscented filter
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Publication:5347378
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.
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Cited in
(21)- Maximum correntropy unscented Kalman and information filters for non-Gaussian measurement noise
- Maximum Total Complex Correntropy for Adaptive Filter
- Non-iterative Cauchy kernel-based maximum correntropy cubature Kalman filter for non-Gaussian systems
- 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
- A robust unscented transformation for uncertain moments
- 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
- Double layer unscented Kalman filter
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- Laplace \(\ell_1\) square-root cubature Kalman filter for non-Gaussian measurement noises
- An unscented transformation approach to stochastic analysis of measurement uncertainty in magnet resonance imaging with applications in engineering
- 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
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- Attitude estimation based on robust information cubature quaternion filter
- Distributed maximum correntropy unscented Kalman filter under hybrid attacks in non-Gaussian environment
- Rational-quadratic kernel-based maximum correntropy Kalman filter for the non-Gaussian noises
- Cauchy kernel-based maximum correntropy Kalman filter
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