Square-root algorithms for maximum correntropy estimation of linear discrete-time systems in presence of non-Gaussian noise

Recent developments in the realm of state estimation of stochastic dynamic systems in the presence of non-Gaussian noise have induced a new methodology called the maximum correntropy filtering. The filters designed under the maximum correntropy criterion (MCC) utilize a similarity measure (or correntropy) between two random variables as a cost function. They are shown to improve the estimators’ robustness against outliers or impulsive noises. In this paper we explore the numerical stability of linear filtering technique proposed recently under the MCC approach. The resulted estimator is called the maximum correntropy criterion Kalman filter (MCC-KF). The purpose of this study is two-fold. First, the previously derived MCC-KF equations are revised and the related Kalman-like equality conditions are proved. Based on this theoretical finding, we improve the MCC-KF technique in the sense that the new method possesses a better estimation quality with the reduced computational cost compared with the previously proposed MCC-KF variant. Second, we devise some square-root implementations for the newly-designed improved estimator. The square-root algorithms are well known to be inherently more stable than the conventional Kalman-like implementations, which process the full error covariance matrix in each iteration step of the filter. Additionally, following the latest achievements in the KF community, all square-root algorithms are formulated here in the so-called array form. It implies the use of orthogonal transformations for recursive update of the required filtering quantities and, thereby, no loss of accuracy is incurred. Apart from the numerical stability benefits, the array form also makes the modern Kalman-like filters better suited to parallel implementation and to very large scale integration (VLSI) implementation. All the MCC-KF variants developed in this paper are demonstrated to outperform the previously proposed MCC-KF version in two numerical examples.