Minimum Error Entropy Kalman Filter

04/14/2019
by   Badong Chen, et al.
0

To date most linear and nonlinear Kalman filters (KFs) have been developed under the Gaussian assumption and the well-known minimum mean square error (MMSE) criterion. In order to improve the robustness with respect to impulsive (or heavy-tailed) non-Gaussian noises, the maximum correntropy criterion (MCC) has recently been used to replace the MMSE criterion in developing several robust Kalman-type filters. To deal with more complicated non-Gaussian noises such as noises from multimodal distributions, in the present paper we develop a new Kalman-type filter, called minimum error entropy Kalman filter (MEE-KF), by using the minimum error entropy (MEE) criterion instead of the MMSE or MCC. Similar to the MCC based KFs, the proposed filter is also an online algorithm with recursive process, in which the propagation equations are used to give prior estimates of the state and covariance matrix, and a fixed-point algorithm is used to update the posterior estimates. In addition, the minimum error entropy extended Kalman filter (MEE-EKF) is also developed for performance improvement in the nonlinear situations. The high accuracy and strong robustness of MEE-KF and MEE-EKF are confirmed by experimental results.

READ FULL TEXT
research
09/15/2015

Maximum Correntropy Kalman Filter

Traditional Kalman filter (KF) is derived under the well-known minimum m...
research
08/26/2016

Maximum Correntropy Unscented Filter

The unscented transformation (UT) is an efficient method to solve the st...
research
09/07/2018

Maximum Correntropy Derivative-Free Robust Kalman Filter and Smoother

We consider the problem of robust estimation involving filtering and smo...
research
08/07/2018

Granger Causality Analysis Based on Quantized Minimum Error Entropy Criterion

Linear regression model (LRM) based on mean square error (MSE) criterion...
research
08/29/2019

Revisiting the orbital tracking problem

Consider a space object in an orbit about the earth. An uncertain initia...
research
07/30/2020

Coloured Tobit Kalman Filter

This paper deals with the Tobit Kalman filtering (TKF) process when the ...
research
03/29/2021

Towards Robust State Estimation by Boosting the Maximum Correntropy Criterion Kalman Filter with Adaptive Behaviors

This work proposes a resilient and adaptive state estimation framework f...

Please sign up or login with your details

Forgot password? Click here to reset