A robust Kalman filter time scale algorithm with data anomaly

2021 ◽  
Vol 16 (06) ◽  
pp. P06032
Author(s):  
H. Song ◽  
S. Dong ◽  
L. Qu ◽  
X. Wang ◽  
D. Guo
Automatica ◽  
2021 ◽  
Vol 127 ◽  
pp. 109511
Author(s):  
Hao Zhu ◽  
Guorui Zhang ◽  
Yongfu Li ◽  
Henry Leung

2020 ◽  
Vol 53 (2) ◽  
pp. 368-373
Author(s):  
Guangle Jia ◽  
Yulong Huang ◽  
Mingming B. Bai ◽  
Yonggang zhang

Author(s):  
Chaodong Zhang ◽  
Jian’an Li ◽  
Youlin Xu

Previous studies show that Kalman filter (KF)-based dynamic response reconstruction of a structure has distinct advantages in the aspects of combining the system model with limited measurement information and dealing with system model errors and measurement Gaussian noises. However, because the recursive KF aims to achieve a least-squares estimate of state vector by minimizing a quadratic criterion, observation outliers could dramatically deteriorate the estimator’s performance and considerably reduce the response reconstruction accuracy. This study addresses the KF-based online response reconstruction of a structure in the presence of observation outliers. The outlier-robust Kalman filter (OKF), in which the outlier is discerned and reweighted iteratively to achieve the generalized maximum likelihood (ML) estimate, is used instead of KF for online dynamic response reconstruction. The influences of process noise and outlier duration to response reconstruction are investigated in the numerical study of a simple 5-story frame structure. The experimental work on a simply-supported overhanging steel beam is conducted to testify the effectiveness of the proposed method. The results demonstrate that compared with the KF-based response reconstruction, the proposed OKF-based method is capable of dealing with the observation outliers and producing more accurate response construction in presence of observation outliers.


2001 ◽  
Vol 49 (9) ◽  
pp. 2103-2112 ◽  
Author(s):  
Minyue Fu ◽  
C.E. de Souza ◽  
Zhi-Quan Luo

Author(s):  
Chenghao Shan ◽  
Weidong Zhou ◽  
Yefeng Yang ◽  
Hanyu Shan

A new robust Kalman filter (KF) based on mixing distribution is presented to address the filtering issue for a linear system with measurement loss (ML) and heavy-tailed measurement noise (HTMN) in this paper. A new Student’s t-inverse-Wishart-Gamma mixing distribution is derived to more rationally model the HTMN. By employing a discrete Bernoulli random variable (DBRV), the form of measurement likelihood function of double mixing distributions is converted from a weighted sum to an exponential product, and a hierarchical Gaussian state-space model (HGSSM) is therefore established. Finally, the system state, the intermediate random variables (IRVs) of the new STIWG distribution, and the DBRV are simultaneously estimated by utilizing the variational Bayesian (VB) method. Numerical example simulation experiment indicates that the proposed filter in this paper has superior performance than current algorithms in processing ML and HTMN.


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