EMORF/S: EM-Based Outlier-Robust Filtering and Smoothing With Correlated Measurement Noise

IF 4.6 2区 工程技术 Q1 ENGINEERING, ELECTRICAL & ELECTRONIC
Aamir Hussain Chughtai;Muhammad Tahir;Momin Uppal
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引用次数: 0

Abstract

In this article, we consider the problem of outlier-robust state estimation where the measurement noise can be correlated. Outliers in data arise due to many reasons like sensor malfunctioning, environmental behaviors, communication glitches, etc. Moreover, noise correlation emerges in several real-world applications e.g. sensor networks, radar data, GPS-based systems, etc. We consider these effects in system modeling which is subsequently used for inference. We employ the Expectation-Maximization (EM) framework to derive both outlier-resilient filtering and smoothing methods, suitable for online and offline estimation respectively. The standard Gaussian filtering and the Gaussian Rauch–Tung–Striebel (RTS) smoothing results are leveraged to devise the estimators. In addition, Bayesian Cramer-Rao Bounds (BCRBs) for a filter and a smoother which can perfectly detect and reject outliers are presented. These serve as useful theoretical benchmarks to gauge the error performance of different estimators. Lastly, different numerical experiments, for an illustrative target tracking application, are carried out that indicate performance gains compared to similarly engineered state-of-the-art outlier-rejecting state estimators. The advantages are in terms of simpler implementation, enhanced estimation quality, and competitive computational performance.
EMORF/S:基于 EM 的离群值稳健滤波和相关测量噪声平滑法
在本文中,我们考虑的是测量噪声可能相互关联的异常值稳健状态估计问题。数据中出现异常值的原因有很多,如传感器故障、环境行为、通信故障等。此外,在传感器网络、雷达数据、基于 GPS 的系统等多个实际应用中也会出现噪声相关性。我们在系统建模中考虑了这些影响,随后将其用于推理。我们采用期望最大化(EM)框架来推导抗离群滤波和平滑方法,分别适用于在线和离线估计。我们利用标准高斯滤波和高斯 Rauch-Tung-Striebel(RTS)平滑结果来设计估计器。此外,还提出了能完美检测和剔除异常值的滤波器和平滑器的贝叶斯克拉默-拉奥边界(BCRB)。这些都是衡量不同估计器误差性能的有用理论基准。最后,针对一个示例性目标跟踪应用进行了不同的数值实验,结果表明,与设计类似的最先进的异常值剔除状态估计器相比,性能有所提高。这些优势体现在更简单的实现、更高的估计质量以及具有竞争力的计算性能。
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来源期刊
IEEE Transactions on Signal Processing
IEEE Transactions on Signal Processing 工程技术-工程:电子与电气
CiteScore
11.20
自引率
9.30%
发文量
310
审稿时长
3.0 months
期刊介绍: The IEEE Transactions on Signal Processing covers novel theory, algorithms, performance analyses and applications of techniques for the processing, understanding, learning, retrieval, mining, and extraction of information from signals. The term “signal” includes, among others, audio, video, speech, image, communication, geophysical, sonar, radar, medical and musical signals. Examples of topics of interest include, but are not limited to, information processing and the theory and application of filtering, coding, transmitting, estimating, detecting, analyzing, recognizing, synthesizing, recording, and reproducing signals.
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