In practical engineering applications, the performance of the standard cubature Kalman filter (CKF) and its square-root version can be severely degraded due to outliers in measurement or contaminated distribution. In order to address the problem, a robust version of CKF is presented using Huber’s M-estimation methodology and square-root filtering framework. By making use of the Huber technique to reformulate the measurement update of CKF in square-root filtering framework, the proposed filter can exhibit robustness and numerical stability against deviation from Gaussian distribution assumption. In simulation tests, four versions of CKF—the standard, the square-root, Huber-based, and the proposed are evaluated in terms of estimation accuracy, numerical stability, and robustness under Gaussian and non-Gaussian distribution. The results are concluded that the square-root version outperforms the others under Gaussian distribution, whereas the proposed filter has improved performance in maintaining the robustness and numerical stability under non-Gaussian distribution. The investigated robust framework can be extended to other Gaussian filtering algorithms and the study is expected to facilitate applications of CKF in practical engineering as well.
Robust square-root cubature Kalman filter based on Huber’s M-estimation methodology
2015-06-01
10 pages
Aufsatz (Zeitschrift)
Elektronische Ressource
Englisch
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