A robust approach to sigma point Kalman filtering
Abstract
In this paper, we address a robust nonlinear state estimation problem under model uncertainty by formulating a dynamic minimax game: one player designs the robust estimator, while the other selects the least favorable model from an ambiguity set of possible models centered around the nominal one. To characterize a closed-form expression for the conditional expectation characterizing the estimator, we approximate the center of this ambiguity set by means of a sigma point approximation. Furthermore, since the least favorable model is generally nonlinear and non-Gaussian, we derive a simulator based on a Markov chain Monte Carlo method to generate data from such model. Finally, some numerical examples show that the proposed filter outperforms the existing filters.
Cite
@article{arxiv.2506.04815,
title = {A robust approach to sigma point Kalman filtering},
author = {Shenglun Yi and Mattia Zorzi},
journal= {arXiv preprint arXiv:2506.04815},
year = {2025}
}