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A new robust Kalman filter algorithm under outliers and system uncertainties

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3 Author(s)
Chan, S.C. ; Dept. of Electr. & Electron. Eng., Hong Kong Univ., China ; Zhang, Z.G. ; Tse, K.W.

This paper proposes a new robust Kalman filter algorithm under outliers and system uncertainties. The robust Kalman filter of Durovic and Kovacevic (1999) is extended to include unknown-but-bounded parameter uncertainties in the state or observation matrix. We first formulate the robust state estimation problem as an M-estimation problem, which leads to an unconstrained nonlinear optimization problem. This is then linearized and solved iteratively as a series of linear least-squares problems. These least-squares problems are subject to the bounded system uncertainties using the robust least squares method proposed by A. Ben-Tal and A. Nemirovski (2001). Simulation results show that the new algorithm leads to a better performance than the conventional algorithms under outliers as well as system uncertainties.

Published in:

Circuits and Systems, 2005. ISCAS 2005. IEEE International Symposium on

Date of Conference:

23-26 May 2005