scholarly journals Maximum Correntropy Criterion Kalman Filter for α-Jerk Tracking Model with Non-Gaussian Noise

Entropy ◽  
2017 ◽  
Vol 19 (12) ◽  
pp. 648 ◽  
Author(s):  
Bowen Hou ◽  
Zhangming He ◽  
Xuanying Zhou ◽  
Haiyin Zhou ◽  
Dong Li ◽  
...  
Keyword(s):  
Kalman Filter ◽  
Gaussian Noise ◽  
Tracking Model ◽  
Maximum Correntropy Criterion ◽  
Non Gaussian

Maximum Correntropy Criterion Constrained Kalman Filter

2017 ◽  
Author(s):  
Seyed Fakoorian ◽  
Mahmoud Moosavi ◽  
Reza Izanloo ◽  
Vahid Azimi ◽  
Dan Simon
Keyword(s):  
Kalman Filter ◽  
Gaussian Noise ◽  
State Constraints ◽  
Statistical Information ◽  
Second Order ◽  
System Model ◽  
Error Covariance ◽  
Inequality State ◽  
Maximum Correntropy Criterion ◽  
Non Gaussian

Non-Gaussian noise may degrade the performance of the Kalman filter because the Kalman filter uses only second-order statistical information, so it is not optimal in non-Gaussian noise environments. Also, many systems include equality or inequality state constraints that are not directly included in the system model, and thus are not incorporated in the Kalman filter. To address these combined issues, we propose a robust Kalman-type filter in the presence of non-Gaussian noise that uses information from state constraints. The proposed filter, called the maximum correntropy criterion constrained Kalman filter (MCC-CKF), uses a correntropy metric to quantify not only second-order information but also higher-order moments of the non-Gaussian process and measurement noise, and also enforces constraints on the state estimates. We analytically prove that our newly derived MCC-CKF is an unbiased estimator and has a smaller error covariance than the standard Kalman filter under certain conditions. Simulation results show the superiority of the MCC-CKF compared with other estimators when the system measurement is disturbed by non-Gaussian noise and when the states are constrained.

Robust Kalman-Type Filter for Non-Gaussian Noise: Performance Analysis With Unknown Noise Covariances

2019 ◽  
Vol 141 (9) ◽  
Author(s):  
Seyed Fakoorian ◽  
Alireza Mohammadi ◽  
Vahid Azimi ◽  
Dan Simon
Keyword(s):  
Kalman Filter ◽  
Gaussian Noise ◽  
Optimality Criterion ◽  
Minimum Mean Square Error ◽  
Mean Square ◽  
Process Noise ◽  
Noise Covariance ◽  
Maximum Correntropy Criterion ◽  
Non Gaussian ◽  
Mean Square Errors

The Kalman filter (KF) is optimal with respect to minimum mean square error (MMSE) if the process noise and measurement noise are Gaussian. However, the KF is suboptimal in the presence of non-Gaussian noise. The maximum correntropy criterion Kalman filter (MCC-KF) is a Kalman-type filter that uses the correntropy measure as its optimality criterion instead of MMSE. In this paper, we modify the correntropy gain in the MCC-KF to obtain a new filter that we call the measurement-specific correntropy filter (MSCF). The MSCF uses a matrix gain rather than a scalar gain to provide better selectivity in the way that it handles the innovation vector. We analytically compare the performance of the KF with that of the MSCF when either the measurement or process noise covariance is unknown. For each of these situations, we analyze two mean square errors (MSEs): the filter-calculated MSE (FMSE) and the true MSE (TMSE). We show that the FMSE of the KF is less than that of the MSCF. However, the TMSE of the KF is greater than that of the MSCF under certain conditions. Illustrative examples are provided to verify the analytical results.

Centered error entropy Kalman filter with application to satellite attitude determination

2021 ◽  
pp. 014233122110198
Author(s):  
Baojian Yang ◽  
Lu Cao ◽  
Dechao Ran ◽  
Bing Xiao
Keyword(s):  
Kalman Filter ◽  
Gaussian Noise ◽  
Attitude Determination ◽  
Complexity Analysis ◽  
Iteration Algorithm ◽  
Robust Algorithms ◽  
Convergence Conditions ◽  
Satellite Attitude ◽  
Heavy Tailed ◽  
Non Gaussian

Due to unavoidable factors, heavy-tailed noise appears in satellite attitude estimation. Traditional Kalman filter is prone to performance degradation and even filtering divergence when facing non-Gaussian noise. The existing robust algorithms have limited accuracy. To improve the attitude determination accuracy under non-Gaussian noise, we use the centered error entropy (CEE) criterion to derive a new filter named centered error entropy Kalman filter (CEEKF). CEEKF is formed by maximizing the CEE cost function. In the CEEKF algorithm, the prior state values are transmitted the same as the classical Kalman filter, and the posterior states are calculated by the fixed-point iteration method. The CEE EKF (CEE-EKF) algorithm is also derived to improve filtering accuracy in the case of the nonlinear system. We also give the convergence conditions of the iteration algorithm and the computational complexity analysis of CEEKF. The results of the two simulation examples validate the robustness of the algorithm we presented.

scholarly journals Variational Bayesian-Based Improved Maximum Mixture Correntropy Kalman Filter for Non-Gaussian Noise

Entropy ◽  
2022 ◽  
Vol 24 (1) ◽  
pp. 117
Author(s):  
Xuyou Li ◽  
Yanda Guo ◽  
Qingwen Meng
Keyword(s):  
Kalman Filter ◽  
Gaussian Noise ◽  
State Space Model ◽  
Performance Evaluations ◽  
Gaussian State ◽  
Variational Bayesian ◽  
Space Model ◽  
Bandwidth Parameter ◽  
Non Gaussian ◽  
Filtering Problem

The maximum correntropy Kalman filter (MCKF) is an effective algorithm that was proposed to solve the non-Gaussian filtering problem for linear systems. Compared with the original Kalman filter (KF), the MCKF is a sub-optimal filter with Gaussian correntropy objective function, which has been demonstrated to have excellent robustness to non-Gaussian noise. However, the performance of MCKF is affected by its kernel bandwidth parameter, and a constant kernel bandwidth may lead to severe accuracy degradation in non-stationary noises. In order to solve this problem, the mixture correntropy method is further explored in this work, and an improved maximum mixture correntropy KF (IMMCKF) is proposed. By derivation, the random variables that obey Beta-Bernoulli distribution are taken as intermediate parameters, and a new hierarchical Gaussian state-space model was established. Finally, the unknown mixing probability and state estimation vector at each moment are inferred via a variational Bayesian approach, which provides an effective solution to improve the applicability of MCKFs in non-stationary noises. Performance evaluations demonstrate that the proposed filter significantly improves the existing MCKFs in non-stationary noises.

scholarly journals Extended Particle-Aided Unscented Kalman Filter Based on Self-Driving Car Localization

2020 ◽  
Vol 10 (15) ◽  
pp. 5045 ◽  
Author(s):  
Ming Lin ◽  
Byeongwoo Kim
Keyword(s):  
Kalman Filter ◽  
Real World ◽  
Gaussian Noise ◽  
Unscented Kalman Filter ◽  
Three Dimensional ◽  
Two Dimensions ◽  
Localization Problem ◽  
Simulation Results ◽  
Non Gaussian ◽  
Self Driving Cars

The location of the vehicle is a basic parameter for self-driving cars. The key problem of localization is the noise of the sensors. In previous research, we proposed a particle-aided unscented Kalman filter (PAUKF) to handle the localization problem in non-Gaussian noise environments. However, the previous basic PAUKF only considers the infrastructures in two dimensions (2D). This previous PAUKF 2D limitation rendered it inoperable in the real world, which is full of three-dimensional (3D) features. In this paper, we have extended the previous basic PAUKF’s particle weighting process based on the multivariable normal distribution for handling 3D features. The extended PAUKF also raises the feasibility of fusing multisource perception data into the PAUKF framework. The simulation results show that the extended PAUKF has better real-world applicability than the previous basic PAUKF.

scholarly journals Diffusion Generalized MCC with a Variable Center Algorithm for Robust Distributed Estimation

Electronics ◽  
2021 ◽  
Vol 10 (22) ◽  
pp. 2807
Author(s):  
Wentao Ma ◽  
Panfei Cai ◽  
Fengyuan Sun ◽  
Xiao Kou ◽  
Xiaofei Wang ◽  
...  
Keyword(s):  
Adaptive Filtering ◽  
Gaussian Noise ◽  
Distributed Estimation ◽  
Filtering Algorithms ◽  
Combine Strategy ◽  
Stable Performance ◽  
The Mean ◽  
Maximum Correntropy Criterion ◽  
Non Gaussian ◽  
Variable Center

Classical adaptive filtering algorithms with a diffusion strategy under the mean square error (MSE) criterion can face difficulties in distributed estimation (DE) over networks in a complex noise environment, such as non-zero mean non-Gaussian noise, with the object of ensuring a robust performance. In order to overcome such limitations, this paper proposes a novel robust diffusion adaptive filtering algorithm, which is developed by using a variable center generalized maximum Correntropy criterion (GMCC-VC). Generalized Correntropy with a variable center is first defined by introducing a non-zero center to the original generalized Correntropy, which can be used as robust cost function, called GMCC-VC, for adaptive filtering algorithms. In order to improve the robustness of the traditional MSE-based DE algorithms, the GMCC-VC is used in a diffusion adaptive filter to design a novel robust DE method with the adapt-then-combine strategy. This can achieve outstanding steady-state performance under non-Gaussian noise environments because the GMCC-VC can match the distribution of the noise with that of non-zero mean non-Gaussian noise. The simulation results for distributed estimation under non-zero mean non-Gaussian noise cases demonstrate that the proposed diffusion GMCC-VC approach produces a more robustness and stable performance than some other comparable DE methods.

scholarly journals Underwater surveillance in non-Gaussian noisy environment

2020 ◽  
Vol 53 (1-2) ◽  
pp. 250-261
Author(s):  
B Omkar Lakshmi Jagan ◽  
S Koteswara Rao
Keyword(s):  
Kalman Filter ◽  
Lower Bound ◽  
Extended Kalman Filter ◽  
Gaussian Noise ◽  
Unscented Kalman Filter ◽  
Doppler Frequency ◽  
Gaussian Mixture ◽  
Noisy Environment ◽  
Sampled Measurements ◽  
Non Gaussian

The aim of this paper is to evaluate the performance of different filtering algorithms in the presence of non-Gaussian noise environment for tracking underwater targets, using Doppler frequency and bearing measurements. The tracking using Doppler frequency and bearing measurements is popularly known as Doppler-bearing tracking. Here the measurements, that is, bearings and Doppler frequency, are considered to be corrupted with two types of non-Gaussian noises namely shot noise and Gaussian mixture noise. The non-Gaussian noise sampled measurements are assumed to be obtained (a) randomly throughout the process and (b) repeatedly at some particular time samples. The efficiency of these filters with the increase in non-Gaussian noise samples is discussed in this paper. The performance of filters is compared with that of Cramer-Rao Lower Bound. Doppler-bearing extended Kalman filter and Doppler-bearing unscented Kalman filter are chosen for this work.

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