A new robust kalman filter algorithm under outliers and system uncertainties

S. C. Chan; Z. G. Zhang; K. W. Tse

doi:10.1109/ISCAS.2005.1465586

A new robust kalman filter algorithm under outliers and system uncertainties

S. C. Chan
, Z. G. Zhang
, K. W. Tse

The University of Hong Kong

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

37 Scopus citations

Abstract

This paper proposes a new robust Kalman filter algorithm under outliers and system uncertainties. The robust Kalman filter of Durovic and Kovacevic is extended to include unknown-but-bounded parameter uncertainties in the state or observation matrix. We first formulate the robust state estimation problem as an M-estimation problem, which leads to an unconstrained nonlinear optimization problem. This is then linearized and solved iteratively as a series of linear least-squares problem. These least-squares problems, subject to the bounded system uncertainties using the robust least squares method proposed by A. Ben-Tal and A. Nemirovski. Simulation results show that the new algorithm leads to a better performance than the conventional algorithms under outliers as well as system uncertainties.

Original language	English
Title of host publication	Proceedings - IEEE International Symposium on Circuits and Systems 2005, ISCAS 2005
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	4317-4320
Number of pages	4
ISBN (Print)	9780780388345
DOIs	https://doi.org/10.1109/ISCAS.2005.1465586
State	Published - 2005
Externally published	Yes
Event	2005 IEEE International Symposium on Circuits and Systems, ISCAS 2005 - Kobe, Japan Duration: 23 May 2005 → 26 May 2005

Publication series

Name	Proceedings - IEEE International Symposium on Circuits and Systems
ISSN (Print)	0271-4310

Conference

Conference	2005 IEEE International Symposium on Circuits and Systems, ISCAS 2005
Country/Territory	Japan
City	Kobe
Period	23/05/05 → 26/05/05

Access to Document

10.1109/ISCAS.2005.1465586

Cite this

Chan, S. C., Zhang, Z. G., & Tse, K. W. (2005). A new robust kalman filter algorithm under outliers and system uncertainties. In Proceedings - IEEE International Symposium on Circuits and Systems 2005, ISCAS 2005 (pp. 4317-4320). Article 1465586 (Proceedings - IEEE International Symposium on Circuits and Systems). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ISCAS.2005.1465586

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title = "A new robust kalman filter algorithm under outliers and system uncertainties",

abstract = "This paper proposes a new robust Kalman filter algorithm under outliers and system uncertainties. The robust Kalman filter of Durovic and Kovacevic is extended to include unknown-but-bounded parameter uncertainties in the state or observation matrix. We first formulate the robust state estimation problem as an M-estimation problem, which leads to an unconstrained nonlinear optimization problem. This is then linearized and solved iteratively as a series of linear least-squares problem. These least-squares problems, subject to the bounded system uncertainties using the robust least squares method proposed by A. Ben-Tal and A. Nemirovski. Simulation results show that the new algorithm leads to a better performance than the conventional algorithms under outliers as well as system uncertainties.",

author = "Chan, \{S. C.\} and Zhang, \{Z. G.\} and Tse, \{K. W.\}",

year = "2005",

doi = "10.1109/ISCAS.2005.1465586",

language = "英语",

isbn = "9780780388345",

series = "Proceedings - IEEE International Symposium on Circuits and Systems",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

pages = "4317--4320",

booktitle = "Proceedings - IEEE International Symposium on Circuits and Systems 2005, ISCAS 2005",

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note = "2005 IEEE International Symposium on Circuits and Systems, ISCAS 2005 ; Conference date: 23-05-2005 Through 26-05-2005",

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Chan, SC, Zhang, ZG & Tse, KW 2005, A new robust kalman filter algorithm under outliers and system uncertainties. in Proceedings - IEEE International Symposium on Circuits and Systems 2005, ISCAS 2005., 1465586, Proceedings - IEEE International Symposium on Circuits and Systems, Institute of Electrical and Electronics Engineers Inc., pp. 4317-4320, 2005 IEEE International Symposium on Circuits and Systems, ISCAS 2005, Kobe, Japan, 23/05/05. https://doi.org/10.1109/ISCAS.2005.1465586

A new robust kalman filter algorithm under outliers and system uncertainties. / Chan, S. C.; Zhang, Z. G.; Tse, K. W.
Proceedings - IEEE International Symposium on Circuits and Systems 2005, ISCAS 2005. Institute of Electrical and Electronics Engineers Inc., 2005. p. 4317-4320 1465586 (Proceedings - IEEE International Symposium on Circuits and Systems).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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N2 - This paper proposes a new robust Kalman filter algorithm under outliers and system uncertainties. The robust Kalman filter of Durovic and Kovacevic is extended to include unknown-but-bounded parameter uncertainties in the state or observation matrix. We first formulate the robust state estimation problem as an M-estimation problem, which leads to an unconstrained nonlinear optimization problem. This is then linearized and solved iteratively as a series of linear least-squares problem. These least-squares problems, subject to the bounded system uncertainties using the robust least squares method proposed by A. Ben-Tal and A. Nemirovski. Simulation results show that the new algorithm leads to a better performance than the conventional algorithms under outliers as well as system uncertainties.

AB - This paper proposes a new robust Kalman filter algorithm under outliers and system uncertainties. The robust Kalman filter of Durovic and Kovacevic is extended to include unknown-but-bounded parameter uncertainties in the state or observation matrix. We first formulate the robust state estimation problem as an M-estimation problem, which leads to an unconstrained nonlinear optimization problem. This is then linearized and solved iteratively as a series of linear least-squares problem. These least-squares problems, subject to the bounded system uncertainties using the robust least squares method proposed by A. Ben-Tal and A. Nemirovski. Simulation results show that the new algorithm leads to a better performance than the conventional algorithms under outliers as well as system uncertainties.

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DO - 10.1109/ISCAS.2005.1465586

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BT - Proceedings - IEEE International Symposium on Circuits and Systems 2005, ISCAS 2005

PB - Institute of Electrical and Electronics Engineers Inc.

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Chan SC, Zhang ZG, Tse KW. A new robust kalman filter algorithm under outliers and system uncertainties. In Proceedings - IEEE International Symposium on Circuits and Systems 2005, ISCAS 2005. Institute of Electrical and Electronics Engineers Inc. 2005. p. 4317-4320. 1465586. (Proceedings - IEEE International Symposium on Circuits and Systems). doi: 10.1109/ISCAS.2005.1465586

A new robust kalman filter algorithm under outliers and system uncertainties

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