Weighted information entropy-based Kalman filter for outliers and structural noise

Structural noise and outliers are widely present in real-world state estimate scenarios, and they significantly degrade the performance of most filtering algorithms based on minimum mean square error (MMSE) criterion. To address this problem, this paper first models structural noise and outliers as independent and piecewise identical distribution (IPID). Then, a minimum error weighted entropy-based Kalman filter (MEWE-KF) is proposed, where a new cost function is constructed by introducing a weight function related to error location distances in an original information space into the minimum error entropy (MEE) criterion. Further, the iterative formulations of the proposed filter are derived, and the computational complexity and the convergence are also analyzed. Simulation results show that the proposed filter with adaptive weights has the superior performance for suppressing structural noise and outliers.