自动化学报2017，Vol.43Issue(1)：114-131,18.DOI:10.16383/j.aas.2017.c150810
带有色厚尾量测噪声的鲁棒高斯近似滤波器和平滑器
Robust Gaussian Approximate Filter and Smoother with Colored Heavy Tailed Measurement Noise
摘要
Abstract
In this paper, new robust Gaussian approximate (GA) filter and smoother are proposed to solve the problem of nonlinear state estimation with colored heavy tailed measurement noise. Firstly, the nonlinear state estimation problem with one-step delayed state and white heavy tailed measurement noise after measurement differencing is transformed into a standard nonlinear state estimation problem with heavy tailed measurement noise based on the state augmentation approach. Secondly, new GA filter and smoother are designed for the problem of unknown scale matrix and degrees of freedom (DOF) parameter of noise of the model after measurement differencing. The state, scale matrix and DOF param-eter are estimated simultaneously by building the conjugate prior distributions for unknown parameters and estimated state and using variational Bayesian approach. Finally, the efficiency and superiority of the proposed robust GA filter and smoother with colored heavy tailed measurement noise, as compared with existing method, are shown in the simulation of target tracking.关键词
非线性状态估计/有色厚尾量测噪声/变分贝叶斯/Student0s t分布/状态扩展方法Key words
Nonlinear state estimation/colored heavy tailed measurement noise/variational Bayesian/Student0s t distribution/state augmentation approach引用本文复制引用
黄玉龙,张勇刚,武哲民,李宁,王刚..带有色厚尾量测噪声的鲁棒高斯近似滤波器和平滑器[J].自动化学报,2017,43(1):114-131,18.基金项目
国家自然科学基金(61371173),哈尔滨工程大学中央高校基本科研业务费专项基金(HEUCFQ20150407)资助Supported by National Natural Science Foundations of China (61371173) and Fundamental Research Funds for the Central Universities of Harbin Engineering University (HEUCFQ20150407) （61371173）
