Journal
INTERNATIONAL JOURNAL OF ROBUST AND NONLINEAR CONTROL
Volume 26, Issue 3, Pages 445-460Publisher
WILEY-BLACKWELL
DOI: 10.1002/rnc.3319
Keywords
extended Kalman filter; stochastic nonlinear systems; non-Gaussian noise; robust filtering
Funding
- Serbian Ministry of Education, Science and Technological Development [TR33026, TR33027]
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The presence of outliers can considerably degrade the performance of linear recursive algorithms based on the assumptions that measurements have a Gaussian distribution. Namely, in measurements there are rare, inconsistent observations with the largest part of population of observations (outliers). Therefore, synthesis of robust algorithms is of primary interest. The Masreliez-Martin filter is used as a natural frame for realization of the state estimation algorithm of linear systems. Improvement of performances and practical values of the Masreliez-Martin filter as well as the tendency to expand its application to nonlinear systems represent motives to design the modified extended Masreliez-Martin filter. The behaviour of the new approach to nonlinear filtering, in the case when measurements have non-Gaussian distributions, is illustrated by intensive simulations. Copyright (C) 2015 John Wiley & Sons, Ltd.
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