Related papers: Chandrasekhar-based maximum correntropy Kalman fil…

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…

The Kalman filter provides an optimal estimation for a linear system with Gaussian noise. However when the noises are non-Gaussian in nature, its performance deteriorates rapidly. For non-Gaussian noises, maximum correntropy Kalman filter…

Recent developments in the realm of state estimation of stochastic dynamic systems in the presence of non-Gaussian noise have induced a new methodology called the maximum correntropy filtering. The filters designed under the maximum…

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…

This letter explores covariance matching-based adaptive robust cubature Kalman filter (CMRACKF). In this method, the innovation sequence is used to determine the covariance matrix of measurement noise that can overcome the limitation of…

This paper extends the Chandrasekhar-type recursions due to Morf, Sidhu, and Kailath "Some new algorithms for recursive estimation in constant, linear, discrete-time systems, IEEE Trans. Autom. Control 19 (1974) 315-323" to the case of…

The maximum correntropy criterion (MCC) methodology is recognized to be a robust filtering strategy with respect to outliers and shown to outperform the classical Kalman filter (KF) for estimation accuracy in the presence of non-Gaussian…

To date most linear and nonlinear Kalman filters (KFs) have been developed under the Gaussian assumption and the well-known minimum mean square error (MMSE) criterion. In order to improve the robustness with respect to impulsive (or…

In this article, a robust ensemble Kalman filter (EnKF) called MC-EnKF is proposed for nonlinear state-space model to deal with filtering problems with non-Gaussian observation noises. Our MC-EnKF is derived based on maximum correntropy…

As one of the most advanced variants in the correntropy family, the multi-kernel correntropy criterion demonstrates superior accuracy in handling non-Gaussian noise, particularly with multimodal distributions. However, current approaches…

Kernel Adaptive Filtering (KAF) are mathematically principled methods which search for a function in a Reproducing Kernel Hilbert Space. While they work well for tasks such as time series prediction and system identification they are…

Robust compressive sensing(CS) reconstruction has become an attractive research topic in recent years. Robust CS aims to reconstruct the sparse signals under non-Gaussian(i.e. heavy tailed) noises where traditional CS reconstruction…

As a well-established adaptation criterion, the maximum correntropy criterion (MCC) has been receiving increasing attention due to its robust against outliers. In this paper, a new complex recursive maximum correntropy (CRMC) algorithm…

A recursive free cash flow model (FCFF) is proposed to determine the corporate value of a company in an efficient market in which new market and company-specific information is modelled by additive white noise. The stochastic equations of…

Kernel adaptive filters (KAF) are a class of powerful nonlinear filters developed in Reproducing Kernel Hilbert Space (RKHS). The Gaussian kernel is usually the default kernel in KAF algorithms, but selecting the proper kernel size…

Constrained adaptive filtering algorithms inculding constrained least mean square (CLMS), constrained affine projection (CAP) and constrained recursive least squares (CRLS) have been extensively studied in many applications. Most existing…

The maximum correntropy criterion (MCC) has been employed to design outlier-robust adaptive filtering algorithms, among which the recursive MCC (RMCC) algorithm is a typical one. Motivated by the success of our recently proposed…

This paper investigates the distributed Kalman filtering (DKF) from distributed optimization viewpoint. Motivated by the fact that Kalman filtering is a maximum a posteriori estimation (MAP) problem, which is a quadratic optimization…

Kalman-type filtering techniques including cubature Kalman filter (CKF) does not work well in non-Gaussian environments, especially in the presence of outliers. To solve this problem, Huber's M-estimation based robust CKF (RCKF) is proposed…

One of the most computationally challenging problems expected for the High-Luminosity Large Hadron Collider (HL-LHC) is determining the trajectory of charged particles during event reconstruction. Algorithms used at the LHC today rely on…