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Robust Gaussian sum filtering with unknown noise statistics: Application to target tracking

Vilà-Valls, Jordi and Wei, Qi and Closas, Pau and Fernández Prades, Carles Robust Gaussian sum filtering with unknown noise statistics: Application to target tracking. (2014) In: IEEE Workshop on statistical signal processing - SSP 2014, 29 June 2014 - 2 July 2014 (Gold Coast, Australia).

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Official URL: http://dx.doi.org/10.1109/SSP.2014.6884664


In many real-life Bayesian estimation problems, it is appropriate to consider non-Gaussian noise distributions to model the existence of outliers, impulsive behaviors or heavy-tailed physical phenomena in the measurements. Moreover, the complete knowledge of the system dynamics uses to be limited, as well as for the process and measurement noise statistics. In this paper, we propose an adaptive recursive Gaussian sum filter that addresses the adaptive Bayesian filtering problem, tackling efficiently nonlinear behaviors while being robust to the weak knowledge of the system. The new method is based on the relationship between the measurement noise parameters and the innovations sequence, used to recursively infer the Gaussian mixture model noise parameters. Numerical results exhibit enhanced robustness against both non-Gaussian noise and unknown parameters. Simulation results are provided to show that good performance can be attained when compared to the standard known statistics case.

Item Type:Conference or Workshop Item (Paper)
Additional Information:Thanks to IEEE editor. The definitive version is available at http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=6884664&tag=1
HAL Id:hal-01147254
Audience (conference):International conference proceedings
Uncontrolled Keywords:
Institution:French research institutions > Centre National de la Recherche Scientifique - CNRS (FRANCE)
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Université de Toulouse > Institut National Polytechnique de Toulouse - Toulouse INP (FRANCE)
Université de Toulouse > Université Toulouse III - Paul Sabatier - UT3 (FRANCE)
Université de Toulouse > Université Toulouse - Jean Jaurès - UT2J (FRANCE)
Université de Toulouse > Université Toulouse 1 Capitole - UT1 (FRANCE)
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Deposited On:24 Mar 2015 15:13

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