Centered Error Entropy-Based Variational Bayesian Adaptive and Robust Kalman Filter
Baojian Yang, Binhan Du, Ning Li, Siyu Li, Zhiyong Shi · IEEE Transactions on Circuits & Systems II Express Briefs · 2022
In this brief, a centered error entropy based variational Bayesian adaptive and robust Kalman filter (CEEVBKF) is proposed to suppress outlier noise and estimate the unknown noise covariance adaptively. The derived CEEVBKF contains three steps: one-step prediction, centered error entropy (CEE) based outlier suppression, and variational Bayesian (VB) inference. The CEE criterion is first used to suppress outlier noise and obtain rough state estimation value, then they are set as a priori value in VB inference step for accurate a posteriori state estimation. The joint estimation of CEE and VB improves the iterative efficiency and reduces the parameter sensitivity. The simulation results show the effectiveness of CEEVBKF.