Data-Based Filters for Non-Gaussian Dynamic Systems With Unknown Output Noise Covariance

doi:10.1109/JAS.2023.124164

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	Data-Based Filters for Non-Gaussian Dynamic Systems With Unknown Output Noise Covariance
	Elham Javanfar; Mehdi Rahmani
刊名	IEEE/CAA Journal of Automatica Sinica
	2024
卷号	11 期号:4 页码:866-877
关键词	Data-based filter maximum likelihood estimation unknown covariance weighted maximum likelihood estimation weighted sum-of-norms clustering
ISSN号	2329-9266
DOI	10.1109/JAS.2023.124164
英文摘要	This paper proposes linear and nonlinear filters for a non-Gaussian dynamic system with an unknown nominal covariance of the output noise. The challenge of designing a suitable filter in the presence of an unknown covariance matrix is addressed by focusing on the output data set of the system. Considering that data generated from a Gaussian distribution exhibit ellipsoidal scattering, we first propose the weighted sum of norms (SON) clustering method that prioritizes nearby points, reduces distant point influence, and lowers computational cost. Then, by introducing the weighted maximum likelihood, we propose a semi-definite program (SDP) to detect outliers and reduce their impacts on each cluster. Detecting these weights paves the way to obtain an appropriate covariance of the output noise. Next, two filtering approaches are presented: a cluster-based robust linear filter using the maximum a posterior (MAP) estimation and a cluster-based robust nonlinear filter assuming that output noise distribution stems from some Gaussian noise resources according to the ellipsoidal clusters. At last, simulation results demonstrate the effectiveness of our proposed filtering approaches.
内容类型	期刊论文
源URL	[http://ir.ia.ac.cn/handle/173211/55362]
专题	自动化研究所_学术期刊_IEEE/CAA Journal of Automatica Sinica
推荐引用方式 GB/T 7714	Elham Javanfar,Mehdi Rahmani. Data-Based Filters for Non-Gaussian Dynamic Systems With Unknown Output Noise Covariance[J]. IEEE/CAA Journal of Automatica Sinica,2024,11(4):866-877.
APA	Elham Javanfar,&Mehdi Rahmani.(2024).Data-Based Filters for Non-Gaussian Dynamic Systems With Unknown Output Noise Covariance.IEEE/CAA Journal of Automatica Sinica,11(4),866-877.
MLA	Elham Javanfar,et al."Data-Based Filters for Non-Gaussian Dynamic Systems With Unknown Output Noise Covariance".IEEE/CAA Journal of Automatica Sinica 11.4(2024):866-877.