Iterative UKF under generalized maximum correntropy criterion for intermittent observation systems with complex non-Gaussian noise
Min Zhang, Xinmin Song, Wei Xing Zheng, Zheng Liu · Signal Processing · 2024
The traditional unscented Kalman filters (UKFs) under the maximum correntropy criterion provide a powerful tool for nonlinear state estimation with heavy-tailed non-Gaussian noise. Nevertheless, the above-mentioned filters may yield biased estimates because the Gaussian kernel function can only handle certain types of non-Gaussian noise. Additionally, the use of statistical linearization methods can result in approximation errors when solving linear observation equations, while the system may also experience observation data loss. Therefore, a new iterative UKF with intermittent observations under the generalized maximum correntropy criterion is proposed for systems with complex non-Gaussian noise, called GMCC-IO-IUKF. Firstly, the connection between the UKF with and without intermittent observations is established by designing a coefficient matrix including intermittent observation variables, so as to derive the UKF with intermittent observations under the maximum correntropy criterion. Secondly, for the measurement update of GMCC-IO-IUKF, a nonlinear regression augmented model that can deal with both prediction and observation errors is established using the coefficient matrix and the nonlinear function . To better adapt to different types of non-Gaussian noise, the generalized Gaussian kernel function is substituted for the traditional Gaussian kernel function. Theoretically, GMCC-IO-IUKF can achieve better estimation performance by directly employing the nonlinear function and the latest iteration value. Finally, a classical target tracking model is used to evaluate the estimation performance and feasibility of our proposed GMCC-IO-IUKF algorithm. It appears from the experiment results that our proposed GMCC-IO-IUKF can not only promote estimation precision but also handle complex non-Gaussian noise flexibly.