Robust Cubature Kalman Filter With Gaussian-Multivariate Laplacian Mixture Distribution and Partial Variational Bayesian Method
Hongpo Fu, Wei Huang, Zhenwei Li, Yongmei Cheng, Tianyi Zhang · IEEE Transactions on Signal Processing · 2023
This paper explores the problem of nonlinear state estimation in the presence of outlier-contaminated measurements. First, to deal with the non-stationary non-Gaussian noises caused by randomly occurring measurement outliers, we propose a new Gaussian-multivariate Laplacian mixture (GMLM) distribution and construct it as a hierarchical Gaussian expression. Next, utilizing the GMLM distribution and existing variational Bayesian (VB) method, a robust cubature Kalman filter is derived (VB-GMLMRCKF). Then, considering the high computational complexity of the existing VB inference process, a new partial VB (PVB) method is developed, which can separately estimate state vector and mismatched measurement noise covariance matrix. Building upon the VB-GMLMRCKF and PVB approach, a novel robust cubature Kalman filter is derived (PVB-GMLMRCKF). Finally, a target tracking model is utilized to evaluate the PVB-GMLMRCKF in terms of estimation accuracy, estimation consistency and computational efficiency.