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Kernel Kalman Filtering With Conditional Embedding and Maximum Correntropy Criterion.
- Source :
-
IEEE Transactions on Circuits & Systems. Part I: Regular Papers . Nov2019, Vol. 66 Issue 11, p4265-4277. 13p. - Publication Year :
- 2019
-
Abstract
- The Hilbert space embedding provides a powerful and flexible tool for dealing with the nonlinearity and high-order statistics of random variables in a dynamical system. The kernel Kalman filtering based on the conditional embedding operator (KKF-CEO) shows significant performance improvements over the traditional Kalman filters in the noisy nonlinear time-series prediction. However, KKF-CEO based on the minimum mean-square-error (MMSE) criterion is sensitive to the outliers or heavy-tailed noises. In contrast to the MMSE criterion, the maximum correntropy criterion (MCC) can achieve more robust performance in the presence of outliers. In this paper, we develop a novel kernel Kalman-type filter based on MCC, referred to kernel Kalman filtering with conditional embedding operator and maximum correntropy criterion (KKF-CEO-MCC). The proposed KKF-CEO-MCC can capture higher order statistics of errors and is robust to outliers. In addition, two simplified versions of KKF-CEO-MCC are developed, namely, KKF-CEO-MCC-O and KKF-CEO-MCC-NA. The former is an online approach and the latter is based on Nyström approximation. Simulations on noisy nonlinear time-series prediction confirm the desirable accuracy and robustness of the new filters. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 15498328
- Volume :
- 66
- Issue :
- 11
- Database :
- Academic Search Index
- Journal :
- IEEE Transactions on Circuits & Systems. Part I: Regular Papers
- Publication Type :
- Periodical
- Accession number :
- 139409273
- Full Text :
- https://doi.org/10.1109/TCSI.2019.2920773