Outlier-Tolerant Kalman Filter of State Vectors in Linear Stochastic System
نویسندگان
چکیده
The Kalman filter is widely used in many different fields. Many practical applications and theoretical results show that the Kalman filter is very sensitive to outliers in a measurement process. In this paper some reasons why the Kalman Filter is sensitive to outliers are analyzed and a series of outlier-tolerant algorithms are designed to be used as substitutes of the Kalman Filter. These outlier-tolerant filters are highly capable of preventing adverse effects from outliers similar with the Kalman Filter in complexity degree and very outlier-tolerant in the case there are some outliers arisen in sampling data set of linear stochastic systems. Simulation results show that these modified algorithms are safe and applicable. KeywordsKalman filter; Outlier-tolerant; Outlier; Linear stochastic system.
منابع مشابه
ANew Adaptive Kalman Estimator for Detection and Isolation of Multiple Faults Integrated in a Fault Tolerant Control
For sequential jumps detection, isolation, and estimation in discrete-time stochastic linear systems, Willsky and Jones (1976) have developed the Generalized Likelihood Ratio (GLR) test. After each detection and isolation of one jump, the treatment of another possible jump is obtained by a direct state estimate and covariance incrementation of the Kalman filter originally designed on the jump-f...
متن کاملکاهش تعداد ماهوارهها در یک سیستم ناوبری ترکیبی GPS/INS با استفاده از فیلتر ذرهای
The estimation of situation in a combinational navigation GPS/INS with least number of satellites is the main purpose of this paper. As inertial measurement unit uses altimeter for height measurement, we can assume which height poses certain amounts, whereas geographical length and width are unknown to us in this paper. The single difference GPS is employed for updating the inertial navigation ...
متن کاملA Stochastic Model for Indirect Condition Monitoring Using Proportional Covariate Model
This paper introduces a model to make decision on the maintenance of a mechanical component subject to condition monitoring. A stochastic model is used to determine what maintenance action should be taken at a monitoring check and the follow up inspection times. The condition of component has a stochastic relation with measurements. A new state space model is developed and used, to predict the ...
متن کاملReconfigurable Fault Tolerant Control for Linear Stochastic Systems subject to Sequential Jumps
For sequential jumps detection, isolation and estimation in discrete-time stochastic linear systems, Willsky and Jones (1976) have developed the Generalized Likelihood Ratio (GLR) test. For the treatment of sequential jumps, the jump-free Kalman filter is updated on-line after each detection of one jump by a direct state estimate and covariance incrementation using the informations produced by ...
متن کاملA distributed Kalman smoother
Kalman smoothers obtain state estimates in a system with stochastic dynamics and measurement noise. We consider the smoothing problem in a distributed setting, present a cooperative smoothing algorithm for Gauss-Markov linear models, and provide a convergence analysis for the algorithm. An extension of the algorithm that maximizes the likelihood with respect to a sequence of state vectors subje...
متن کامل