On the stable Cholesky factorization-based method for the maximum correntropy criterion Kalman filtering
Abstract
This paper continues the research devoted to the design of numerically stable square-root implementations for the maximum correntropy criterion Kalman filtering (MCC-KF). In contrast to the previously obtained results, here we reveal the first robust (with respect to round-off errors) method within the Cholesky factorization-based approach. The method is formulated in terms of square-root factors of the {\it covariance} matrices, i.e. it belongs to the covariance-type filtering methodology. Additionally, a numerically stable orthogonal transformation is utilized at each iterate of the algorithm for accurate propagation of the Cholesky factors involved. The results of numerical experiments illustrate a superior performance of the novel MCC-KF implementation compared to both the conventional algorithm and its previously published Cholesky-based variant.
Cite
@article{arxiv.2311.02438,
title = {On the stable Cholesky factorization-based method for the maximum correntropy criterion Kalman filtering},
author = {Maria V. Kulikova},
journal= {arXiv preprint arXiv:2311.02438},
year = {2023}
}