Adaptive Kalman Filtering with Multivariate Generalized Laplace System Noise
An adaptive Kalman filter is proposed to estimate the stats of a system where the system noise is assumed to be a multivariate generalized Laplace random vector. In the presence of outliers in the system noise, it is shown that improved state estimates can be obtained by using an adaptive factor to...
| Main Authors: | , , |
|---|---|
| Format: | Journal Article |
| Published: |
Taylor and Francis
2011
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/28235 |
| _version_ | 1848752481805271040 |
|---|---|
| author | Khawsithiwong, P. Yatawara, Nihal Pongsapukdee, V. |
| author_facet | Khawsithiwong, P. Yatawara, Nihal Pongsapukdee, V. |
| author_sort | Khawsithiwong, P. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | An adaptive Kalman filter is proposed to estimate the stats of a system where the system noise is assumed to be a multivariate generalized Laplace random vector. In the presence of outliers in the system noise, it is shown that improved state estimates can be obtained by using an adaptive factor to estimate the dispersion matrix of the system noise term. For the implementation of the filter, an algorithm which includes both single and multiple adaptive factors is proposed. A Monte-Carlo investigation is also carried out to access the performance of the proposed filters in comparison with other robust filters. The results show that, in the sense of minimum mean squared state error, the proposed filter is superior to other filters when the magnitude of a system change is moderate or large. |
| first_indexed | 2025-11-14T08:09:19Z |
| format | Journal Article |
| id | curtin-20.500.11937-28235 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:09:19Z |
| publishDate | 2011 |
| publisher | Taylor and Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-282352017-09-13T15:51:38Z Adaptive Kalman Filtering with Multivariate Generalized Laplace System Noise Khawsithiwong, P. Yatawara, Nihal Pongsapukdee, V. Adaptive filter - Multivariate generalized Laplace distribution - System noise outlier An adaptive Kalman filter is proposed to estimate the stats of a system where the system noise is assumed to be a multivariate generalized Laplace random vector. In the presence of outliers in the system noise, it is shown that improved state estimates can be obtained by using an adaptive factor to estimate the dispersion matrix of the system noise term. For the implementation of the filter, an algorithm which includes both single and multiple adaptive factors is proposed. A Monte-Carlo investigation is also carried out to access the performance of the proposed filters in comparison with other robust filters. The results show that, in the sense of minimum mean squared state error, the proposed filter is superior to other filters when the magnitude of a system change is moderate or large. 2011 Journal Article http://hdl.handle.net/20.500.11937/28235 10.1080/03610918.2011.568153 Taylor and Francis fulltext |
| spellingShingle | Adaptive filter - Multivariate generalized Laplace distribution - System noise outlier Khawsithiwong, P. Yatawara, Nihal Pongsapukdee, V. Adaptive Kalman Filtering with Multivariate Generalized Laplace System Noise |
| title | Adaptive Kalman Filtering with Multivariate Generalized Laplace System Noise |
| title_full | Adaptive Kalman Filtering with Multivariate Generalized Laplace System Noise |
| title_fullStr | Adaptive Kalman Filtering with Multivariate Generalized Laplace System Noise |
| title_full_unstemmed | Adaptive Kalman Filtering with Multivariate Generalized Laplace System Noise |
| title_short | Adaptive Kalman Filtering with Multivariate Generalized Laplace System Noise |
| title_sort | adaptive kalman filtering with multivariate generalized laplace system noise |
| topic | Adaptive filter - Multivariate generalized Laplace distribution - System noise outlier |
| url | http://hdl.handle.net/20.500.11937/28235 |