Related papers: Robust Kalman tracking and smoothing with propagat…

We present optimality results for robust Kalman filtering where robustness is understood in a distributional sense, i.e.; we enlarge the distribution assumptions made in the ideal model by suitable neighborhoods. This allows for outliers…

We take up optimality results for robust Kalman filtering from Ruckdeschel[2001,2010] where robustness is understood in a distributional sense, i.e.; we enlarge the distribution assumptions made in the ideal model by suitable neighborhoods,…

Impulsed noise outliers are data points that differs significantly from other observations.They are generally removed from the data set through local regression or Kalman filter algorithm.However, these methods, or their generalizations,…

We present a Kalman smoothing framework based on modeling errors using the heavy tailed Student's t distribution, along with algorithms, convergence theory, open-source general implementation, and several important applications. The…

We consider the robust filtering problem for a state-space model with outliers in correlated measurements. We propose a new robust filtering framework to further improve the robustness of conventional robust filters. Specifically, the…

This work presents a distributionally robust Kalman filter to address uncertainties in noise covariance matrices and predicted covariance estimates. We adopt a distributionally robust formulation using bicausal optimal transport to…

We derive a novel, provably robust, and closed-form Bayesian update rule for online filtering in state-space models in the presence of outliers and misspecified measurement models. Our method combines generalised Bayesian inference with…

Notwithstanding the popularity of conventional clustering algorithms such as K-means and probabilistic clustering, their clustering results are sensitive to the presence of outliers in the data. Even a few outliers can compromise the…

The Kalman filter is ubiquitous for state space models because of its desirable statistical properties, ease of implementation, and generally good performance. However, it can perform poorly in the presence of outliers, or measurements with…

Robustness and adaptivity are two competing objectives in Kalman filters (KF). Robustness involves temporarily inflating prior estimates of noise covariances, while adaptivity updates prior beliefs by exploiting measurements. In practical…

In this paper, we present the optimization formulation of the Kalman filtering and smoothing problems, and use this perspective to develop a variety of extensions and applications. We first formulate classic Kalman smoothing as a least…

State estimation of dynamical systems from noisy observations is a fundamental task in many applications. It is commonly addressed using the linear Kalman filter (KF), whose performance can significantly degrade in the presence of outliers…

Filtering is a widely used methodology for the incorporation of observed data into time-evolving systems. It provides an online approach to state estimation inverse problems when data is acquired sequentially. The Kalman filter plays a…

We propose two nonlinear Kalman smoothers that rely on Student's t distributions. The T-Robust smoother finds the maximum a posteriori likelihood (MAP) solution for Gaussian process noise and Student's t observation noise, and is extremely…

We study the problem of distributed Kalman filtering for sensor networks in the presence of model uncertainty. More precisely, we assume that the actual state-space model belongs to a ball, in the Kullback-Leibler topology, about the…

Outliers can contaminate the measurement process of many nonlinear systems, which can be caused by sensor errors, model uncertainties, change in ambient environment, data loss or malicious cyber attacks. When the extended Kalman filter…

State estimation in heavy-tailed process and measurement noise is an important challenge that must be addressed in, e.g., tracking scenarios with agile targets and outlier-corrupted measurements. The performance of the Kalman filter (KF)…

We consider the robust filtering problem for a nonlinear state-space model with outliers in measurements. To improve the robustness of the traditional Kalman filtering algorithm, we propose in this work two robust filters based on mixture…

State estimation in the presence of uncertain or data-driven noise distributions remains a critical challenge in control and robotics. Although the Kalman filter is the most popular choice, its performance degrades significantly when…

Machine learning and data analysis have been used in many robotics fields, especially for modelling. Data are usually the result of sensor measurements and, as such, they might be subjected to noise and outliers. The presence of outliers…