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http://hdl.handle.net/10397/88810
Title: | Maximum correntropy kalman filter with state constraints | Authors: | Liu, X Chen, BD Zhao, HQ Qin, J Cao, JW |
Issue Date: | 2017 | Source: | IEEE access, 2017, v. 5, p. 25846-25853 | Abstract: | For linear systems, the original Kalman filter under the minimum mean square error (MMSE) criterion is an optimal filter under a Gaussian assumption. However, when the signals follow non-Gaussian distributions, the performance of this filter deteriorates significantly. An efficient way to solve this problem is to use the maximum correntropy criterion (MCC) instead of the MMSE criterion to develop the filters. In a recent work, the maximum correntropy Kalman filter (MCKF) was derived. The MCKF performs very well in filtering heavy-tailed non-Gaussian noise, and its performance can be further improved when some prior information about the system is available (e.g., the system states satisfy some equality constraints). In this paper, to address the problem of state estimation under equality constraints, we develop a new filter, called the MCKF with state constraints, which combines the advantages of the MCC and constrained estimation technology. The performance of the new algorithm is confirmed with two illustrative examples. | Keywords: | Kalman filter Robust estimation Maximum correntropy criterion (MCC) State constraints |
Publisher: | Institute of Electrical and Electronics Engineers | Journal: | IEEE access | EISSN: | 2169-3536 | DOI: | 10.1109/ACCESS.2017.2769965 | Rights: | © 2017 IEEE. Translations and content mining are permitted for academic research only. Personal use is also permitted, but republication/redistribution requires IEEE permission. See http://www.ieee.org/publications_standards/publications/rights/index.html for more information. The following publication X. Liu, B. Chen, H. Zhao, J. Qin and J. Cao, "Maximum Correntropy Kalman Filter With State Constraints," in IEEE Access, vol. 5, pp. 25846-25853, 2017 is available at https://dx.doi.org/10.1109/ACCESS.2017.2769965 Posted with permission of the publisher |
Appears in Collections: | Journal/Magazine Article |
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Liu_Maximum_Correntropy_Kalman.pdf | 3.52 MB | Adobe PDF | View/Open |
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