A novel multiple-outlier-robust Kalman filter
Yulong Huang, Mingming Bai, Yonggang Zhang · Frontiers of Information Technology & Electronic Engineering · 2022
This paper presents a novel multiple-outlier-robust Kalman filter (MORKF) for linear stochastic discretetime systems. A new multiple statistical similarity measure is first proposed to evaluate the similarity between two random vectors from dimension to dimension. Then, the proposed MORKF is derived via maximizing a multiple statistical similarity measure based cost function. The MORKF guarantees the convergence of iterations in mild conditions, and the boundedness of the approximation errors is analyzed theoretically. The selection strategy for the similarity function and comparisons with existing robust methods are presented. Simulation results show the advantages of the proposed filter.