Tag Archives: Robust Estimation

A new Kalman Filter that is more robust under certain deviations of the gaussian hypothesis

Badong Chen, Xi Liu, Haiquan Zhao, Jose C. Principe, Maximum correntropy Kalman filter, Automatica, Volume 76, February 2017, Pages 70-77, ISSN 0005-1098, DOI: 10.1016/j.automatica.2016.10.004.

Traditional Kalman filter (KF) is derived under the well-known minimum mean square error (MMSE) criterion, which is optimal under Gaussian assumption. However, when the signals are non-Gaussian, especially when the system is disturbed by some heavy-tailed impulsive noises, the performance of KF will deteriorate seriously. To improve the robustness of KF against impulsive noises, we propose in this work a new Kalman filter, called the maximum correntropy Kalman filter (MCKF), which adopts the robust maximum correntropy criterion (MCC) as the optimality criterion, instead of using the MMSE. Similar to the traditional KF, the state mean vector and covariance matrix propagation equations are used to give prior estimations of the state and covariance matrix in MCKF. A novel fixed-point algorithm is then used to update the posterior estimations. A sufficient condition that guarantees the convergence of the fixed-point algorithm is also given. Illustration examples are presented to demonstrate the effectiveness and robustness of the new algorithm.

A promising survey on robust estimation methods aimed at robotic applications

Michael Bosse, Gabriel Agamennoni and Igor Gilitschenski (2016), “Robust Estimation and Applications in Robotics”, Foundations and Trends® in Robotics: Vol. 4: No. 4, pp 225-269. DOI: 10.1561/2300000047.

Solving estimation problems is a fundamental component of numerous robotics applications. Prominent examples involve pose estimation, point cloud alignment, or object tracking. Algorithms for solving these estimation problems need to cope with new challenges due to an increased use of potentially poor low-cost sensors, and an ever growing deployment of robotic algorithms in consumer products which operate in potentially unknown environments. These algorithms need to be capable of being robust against strong nonlinearities, high uncertainty levels, and numerous outliers. However, particularly in robotics, the Gaussian assumption is prevalent in solutions to multivariate parameter estimation problems without providing the desired level of robustness. The goal of this tutorial is helping to address the aforementioned challenges by providing an introduction to robust estimation with a particular focus on robotics. First, this is achieved by giving a concise overview of the theory on M-estimation. M-estimators share many of the convenient properties of least-squares estimators, and at the same time are much more robust to deviations from the Gaussian model assumption. Second, we present several example applications where M-Estimation is used to increase robustness against nonlinearities and outliers.

Robust Estimation of Unbalanced Mixture Models on Samples with Outliers

Galimzianova, A.; Pernus, F.; Likar, B.; Spiclin, Z., Robust Estimation of Unbalanced Mixture Models on Samples with Outliers, in Pattern Analysis and Machine Intelligence, IEEE Transactions on , vol.37, no.11, pp.2273-2285, Nov. 1 2015, DOI: 10.1109/TPAMI.2015.2404835.

Mixture models are often used to compactly represent samples from heterogeneous sources. However, in real world, the samples generally contain an unknown fraction of outliers and the sources generate different or unbalanced numbers of observations. Such unbalanced and contaminated samples may, for instance, be obtained by high density data sensors such as imaging devices. Estimation of unbalanced mixture models from samples with outliers requires robust estimation methods. In this paper, we propose a novel robust mixture estimator incorporating trimming of the outliers based on component-wise confidence level ordering of observations. The proposed method is validated and compared to the state-of-the-art FAST-TLE method on two data sets, one consisting of synthetic samples with a varying fraction of outliers and a varying balance between mixture weights, while the other data set contained structural magnetic resonance images of the brain with tumors of varying volumes. The results on both data sets clearly indicate that the proposed method is capable to robustly estimate unbalanced mixtures over a broad range of outlier fractions. As such, it is applicable to real-world samples, in which the outlier fraction cannot be estimated in advance.