🤖 AI Summary
Existing Kalman filters struggle to simultaneously achieve robustness against outliers and adaptability to time-varying process/observation noise. Method: This paper proposes a robust adaptive Kalman filtering framework integrating Student’s t-loss and variational Bayesian inference. It establishes—novelly—that “robustness is a prerequisite for adaptability,” and introduces a switchable fusion mechanism to jointly model temporal variations in process/observation noise and outlier contamination. The framework unifies classical, robust, and adaptive KF variants within a single architecture. Robustness is induced via the heavy-tailed t-distribution; noise hyperparameters are estimated via variational inference; and estimation is refined through fixed-point iteration. Results: The method significantly improves estimation accuracy and stability across diverse complex noise scenarios—including non-Gaussian, heavy-tailed, and mixed-noise settings. Simulations demonstrate superior performance over state-of-the-art robust and adaptive KF methods in both robustness and adaptability.
📝 Abstract
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 using real-time information. In practical applications, both process and measurement noise can be influenced by outliers, be time-varying, or both. Existing works may not effectively address the above complex noise scenarios, as there is an intrinsic incompatibility between robust filters and adaptive filters. In this work, we propose a unified variational robust Kalman filter, built on a Student's t-distribution induced loss function and variational inference, and solved through fixed-point iteration in a computationally efficient manner. We demonstrate that robustness can be understood as a prerequisite for adaptivity, making it possible to merge the above two competing goals into a single framework through switching rules. Additionally, our proposed filter can recover conventional KF, robust KF, and adaptive KF by adjusting parameters, and can suppress both the imperfect process and measurement noise, enabling it to perform superiorly in complex noise environments. Simulations verify the effectiveness of the proposed method.