Minimum Error Entropy Kalman Filter Article Swipe

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Badong Chen , Lujuan Dang , Yuantao Gu , Nanning Zheng , José C. Prı́ncipe ·

YOU? · · 2019 · Open Access · · DOI: https://doi.org/10.48550/arxiv.1904.06617

To date most linear and nonlinear Kalman filters (KFs) have been developed under the Gaussian assumption and the well-known minimum mean square error (MMSE) criterion. In order to improve the robustness with respect to impulsive (or heavy-tailed) non-Gaussian noises, the maximum correntropy criterion (MCC) has recently been used to replace the MMSE criterion in developing several robust Kalman-type filters. To deal with more complicated non-Gaussian noises such as noises from multimodal distributions, in the present paper we develop a new Kalman-type filter, called minimum error entropy Kalman filter (MEE-KF), by using the minimum error entropy (MEE) criterion instead of the MMSE or MCC. Similar to the MCC based KFs, the proposed filter is also an online algorithm with recursive process, in which the propagation equations are used to give prior estimates of the state and covariance matrix, and a fixed-point algorithm is used to update the posterior estimates. In addition, the minimum error entropy extended Kalman filter (MEE-EKF) is also developed for performance improvement in the nonlinear situations. The high accuracy and strong robustness of MEE-KF and MEE-EKF are confirmed by experimental results.

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Kalman filter Extended Kalman filter Invariant extended Kalman filter Minimum mean square error Mathematics Robustness (evolution) Control theory (sociology) Ensemble Kalman filter Covariance Gaussian Covariance matrix Nonlinear system Alpha beta filter Fast Kalman filter Algorithm Computer science Statistics Moving horizon estimation Artificial intelligence Physics Quantum mechanics Estimator Gene Control (management) Biochemistry Chemistry

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Type: preprint
Language: en
Landing Page: http://arxiv.org/abs/1904.06617
PDF: https://arxiv.org/pdf/1904.06617
OA Status: green
Cited By: 1
References: 34
Related Works: 10
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DOI: https://doi.org/10.48550/arxiv.1904.06617

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Title: Minimum Error Entropy Kalman Filter

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Type: preprint

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Language: en

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Publication year: 2019

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Publication date: 2019-04-14

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Authors: Badong Chen, Lujuan Dang, Yuantao Gu, Nanning Zheng, José C. Prı́ncipe

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Landing page: https://arxiv.org/abs/1904.06617

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Concepts: Kalman filter, Extended Kalman filter, Invariant extended Kalman filter, Minimum mean square error, Mathematics, Robustness (evolution), Control theory (sociology), Ensemble Kalman filter, Covariance, Gaussian, Covariance matrix, Nonlinear system, Alpha beta filter, Fast Kalman filter, Algorithm, Computer science, Statistics, Moving horizon estimation, Artificial intelligence, Physics, Quantum mechanics, Estimator, Gene, Control (management), Biochemistry, Chemistry

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Cited by: 1

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abstract_inverted_index.KFs,	108
abstract_inverted_index.MCC.	102
abstract_inverted_index.MMSE	51, 100
abstract_inverted_index.also	113, 159
abstract_inverted_index.been	10, 46
abstract_inverted_index.date	1
abstract_inverted_index.deal	60
abstract_inverted_index.from	69
abstract_inverted_index.give	128
abstract_inverted_index.have	9
abstract_inverted_index.high	169
abstract_inverted_index.mean	20
abstract_inverted_index.more	62
abstract_inverted_index.most	2
abstract_inverted_index.such	66
abstract_inverted_index.used	47, 126, 142
abstract_inverted_index.with	31, 61, 117
abstract_inverted_index.(KFs)	8
abstract_inverted_index.(MCC)	43
abstract_inverted_index.(MEE)	95
abstract_inverted_index.based	107
abstract_inverted_index.error	22, 84, 93, 152
abstract_inverted_index.order	26
abstract_inverted_index.paper	75
abstract_inverted_index.prior	129
abstract_inverted_index.state	133
abstract_inverted_index.under	12
abstract_inverted_index.using	90
abstract_inverted_index.which	121
abstract_inverted_index.(MMSE)	23
abstract_inverted_index.Kalman	6, 86, 155
abstract_inverted_index.MEE-KF	175
abstract_inverted_index.called	82
abstract_inverted_index.filter	87, 111, 156
abstract_inverted_index.linear	3
abstract_inverted_index.noises	65, 68
abstract_inverted_index.online	115
abstract_inverted_index.robust	56
abstract_inverted_index.square	21
abstract_inverted_index.strong	172
abstract_inverted_index.update	144
abstract_inverted_index.MEE-EKF	177
abstract_inverted_index.Similar	103
abstract_inverted_index.develop	77
abstract_inverted_index.entropy	85, 94, 153
abstract_inverted_index.filter,	81
abstract_inverted_index.filters	7
abstract_inverted_index.improve	28
abstract_inverted_index.instead	97
abstract_inverted_index.matrix,	136
abstract_inverted_index.maximum	40
abstract_inverted_index.minimum	19, 83, 92, 151
abstract_inverted_index.noises,	38
abstract_inverted_index.present	74
abstract_inverted_index.replace	49
abstract_inverted_index.respect	32
abstract_inverted_index.several	55
abstract_inverted_index.Gaussian	14
abstract_inverted_index.accuracy	170
abstract_inverted_index.extended	154
abstract_inverted_index.filters.	58
abstract_inverted_index.process,	119
abstract_inverted_index.proposed	110
abstract_inverted_index.recently	45
abstract_inverted_index.results.	182
abstract_inverted_index.(MEE-EKF)	157
abstract_inverted_index.(MEE-KF),	88
abstract_inverted_index.addition,	149
abstract_inverted_index.algorithm	116, 140
abstract_inverted_index.confirmed	179
abstract_inverted_index.criterion	42, 52, 96
abstract_inverted_index.developed	11, 160
abstract_inverted_index.equations	124
abstract_inverted_index.estimates	130
abstract_inverted_index.impulsive	34
abstract_inverted_index.nonlinear	5, 166
abstract_inverted_index.posterior	146
abstract_inverted_index.recursive	118
abstract_inverted_index.assumption	15
abstract_inverted_index.covariance	135
abstract_inverted_index.criterion.	24
abstract_inverted_index.developing	54
abstract_inverted_index.estimates.	147
abstract_inverted_index.multimodal	70
abstract_inverted_index.robustness	30, 173
abstract_inverted_index.well-known	18
abstract_inverted_index.Kalman-type	57, 80
abstract_inverted_index.complicated	63
abstract_inverted_index.correntropy	41
abstract_inverted_index.fixed-point	139
abstract_inverted_index.improvement	163
abstract_inverted_index.performance	162
abstract_inverted_index.propagation	123
abstract_inverted_index.situations.	167
abstract_inverted_index.experimental	181
abstract_inverted_index.non-Gaussian	37, 64
abstract_inverted_index.heavy-tailed)	36
abstract_inverted_index.distributions,	71
cited_by_percentile_year
countries_distinct_count	0
institutions_distinct_count	5
citation_normalized_percentile