Harbin Engineering University

About: Harbin Engineering University is a education organization based out in Harbin, Heilongjiang, China. It is known for research contribution in the topics: Control theory & Microstructure. The organization has 31149 authors who have published 27940 publications receiving 276787 citations. The organization is also known as: HEU.

A Novel Robust Gaussian–Student's t Mixture Distribution Based Kalman Filter

Abstract: In this paper, a novel Gaussian–Student's t mixture (GSTM) distribution is proposed to model non-stationary heavy-tailed noises. The proposed GSTM distribution can be formulated as a hierarchical Gaussian form by introducing a Bernoulli random variable, based on which a new hierarchical linear Gaussian state-space model is constructed. A novel robust GSTM distribution based Kalman filter is proposed based on the constructed hierarchical linear Gaussian state-space model using the variational Bayesian approach. The Kalman filter and robust Student's t based Kalman filter (RSTKF) with fixed distribution parameters are two existing special cases of the proposed filter. The novel GSTM distributed Kalman filter has the important advantage over the RSTKF that the adaptation of the mixing parameter is much more straightforward than learning the degrees of freedom parameter. Simulation results illustrate that the proposed filter has better estimation accuracy than those of the Kalman filter and RSTKF for a linear state-space model with non-stationary heavy-tailed noises.