4.7 Article

A Background-Impulse Kalman Filter With Non-Gaussian Measurement Noises

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出版社

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TSMC.2022.3212975

关键词

Expectation-maximization (EM); Gaussian mixed model; interacting multiple model; Kalman filter (KF); maximum correntropy Kalman filter (MCKF); minimum error entropy Kalman filter (MEEKF)

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In this article, a new Kalman filter algorithm called background-impulse KF (BIKF) is proposed. The measurement noise is divided into background noise and impulse noise, and the parameters are dynamically calculated using the expectation-maximization algorithm to effectively handle the impact of impulse noise.
In the Kalman filter (KF), the estimated state is a linear combination of the one-step prediction and measurement. The two combination weights depend on the prediction mean-square error matrix and the covariances matrix of measurement noise (CMMN), respectively. When the measurement noise values are small (large), the corresponding measurement is close to (far from) the real value, and the weight should be large (small). If there is non-Gaussian measurement noise, especially heavy-tailed noise, most of the noise values are small, and a few of them are large. The occasional impulses cause the overall noise variance to be much greater than the noise without impulses. Since the overall CMMN is adopted in the KF, its performance will deteriorate. In this article, we divide the measurement noise into two parts: 1) the background noise with small variance and 2) the impulse noise with large variance. Then, we use the expectation-maximization algorithm to dynamically calculate the parameters and propose a new KF algorithm to process them separately, which is called background-impulse KF (BIKF). It can dynamically determine whether there is an impulse and eliminate its impact as much as possible. Compared with the recent maximum correntropy criterion and minimum error entropy criterion-based KFs, simulations show that the proposed BIKF works better than them with lower computational complexity.

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