Kalman filtering based on the maximum correntropy criterion in the presence of non-Gaussian noise

2016 ◽  
Author(s):  
Reza Izanloo ◽  
Seyed Abolfazl Fakoorian ◽  
Hadi Sadoghi Yazdi ◽  
Dan Simon
Keyword(s):  
Kalman Filtering ◽  
Gaussian Noise ◽  
Maximum Correntropy Criterion ◽  
Non Gaussian

Maximum Correntropy Criterion Constrained Kalman Filter

2017 ◽  
Author(s):  
Seyed Fakoorian ◽  
Mahmoud Moosavi ◽  
Reza Izanloo ◽  
Vahid Azimi ◽  
Dan Simon
Keyword(s):  
Kalman Filter ◽  
Gaussian Noise ◽  
State Constraints ◽  
Statistical Information ◽  
Second Order ◽  
System Model ◽  
Error Covariance ◽  
Inequality State ◽  
Maximum Correntropy Criterion ◽  
Non Gaussian

Non-Gaussian noise may degrade the performance of the Kalman filter because the Kalman filter uses only second-order statistical information, so it is not optimal in non-Gaussian noise environments. Also, many systems include equality or inequality state constraints that are not directly included in the system model, and thus are not incorporated in the Kalman filter. To address these combined issues, we propose a robust Kalman-type filter in the presence of non-Gaussian noise that uses information from state constraints. The proposed filter, called the maximum correntropy criterion constrained Kalman filter (MCC-CKF), uses a correntropy metric to quantify not only second-order information but also higher-order moments of the non-Gaussian process and measurement noise, and also enforces constraints on the state estimates. We analytically prove that our newly derived MCC-CKF is an unbiased estimator and has a smaller error covariance than the standard Kalman filter under certain conditions. Simulation results show the superiority of the MCC-CKF compared with other estimators when the system measurement is disturbed by non-Gaussian noise and when the states are constrained.

scholarly journals An OGI model for personalized estimation of glucose and insulin concentration in plasma

2021 ◽  
Vol 18 (6) ◽  
pp. 8499-8523
Author(s):  
Weijie Wang ◽  
◽  
Shaoping Wang ◽  
Yixuan Geng ◽  
Yajing Qiao ◽  
...  
Keyword(s):  
Kalman Filtering ◽  
Gaussian Noise ◽  
Particle Filtering ◽  
In Silico ◽  
Insulin Concentration ◽  
Model Parameters ◽  
Bayesian Filtering ◽  
Extended Kalman Filtering ◽  
External Disturbances ◽  
Non Gaussian

<abstract><p>Plasma glucose concentration (PGC) and plasma insulin concentration (PIC) are two essential metrics for diabetic regulation, but difficult to be measured directly. Often, PGC and PIC are estimated from continuous glucose monitoring and insulin delivery data. Nevertheless, the inter-individual variability and external disturbance (e.g. carbohydrate intake) bring challenges for accurate estimations. This study is to estimate PGC and PIC adaptively by identifying personalized parameters and external disturbances. An observable glucose-insulin (OGI) dynamic model is established to describe insulin absorption, glucose regulation, and glucose transport. The model parameters and disturbances can be extended to observable state variables and be identified dynamically by Bayesian filtering estimators. Two basic Gaussian noise based Bayesian filtering estimators, extended Kalman filtering (EKF) and unscented Kalman filtering (UKF), are implemented. Recognizing the prevalence of non-Gaussian noise, in this study, two new filtering estimators: particle filtering with Gaussian noise (PFG), and particle filtering with mixed non-Gaussian noise (PFM) are designed and implemented. The proposed OGI model in conjunction with the estimators is evaluated using the data from 30 in-silico subjects and 10 human participants. For in-silico subjects, the OGI with PFM estimator has the ability to estimate PIC and PGC adaptively, achieving RMSE of PIC $ 9.49\pm3.81 $ mU/L, and PGC $ 0.89\pm0.19 $ mmol/L. For human, the OGI with PFM has the promise to identify disturbances ($ 95.46\%\pm0.65\% $ accurate rate of meal identification). OGI model provides a way to fully personalize the parameters and external disturbances in real time, and has potential clinical utility for artificial pancreas.</p></abstract>

scholarly journals Maximum Correntropy Criterion Kalman Filter for α-Jerk Tracking Model with Non-Gaussian Noise

Entropy ◽  
2017 ◽  
Vol 19 (12) ◽  
pp. 648 ◽  
Author(s):  
Bowen Hou ◽  
Zhangming He ◽  
Xuanying Zhou ◽  
Haiyin Zhou ◽  
Dong Li ◽  
...  
Keyword(s):  
Kalman Filter ◽  
Gaussian Noise ◽  
Tracking Model ◽  
Maximum Correntropy Criterion ◽  
Non Gaussian

scholarly journals Diffusion Generalized MCC with a Variable Center Algorithm for Robust Distributed Estimation

Electronics ◽  
2021 ◽  
Vol 10 (22) ◽  
pp. 2807
Author(s):  
Wentao Ma ◽  
Panfei Cai ◽  
Fengyuan Sun ◽  
Xiao Kou ◽  
Xiaofei Wang ◽  
...  
Keyword(s):  
Adaptive Filtering ◽  
Gaussian Noise ◽  
Distributed Estimation ◽  
Filtering Algorithms ◽  
Combine Strategy ◽  
Stable Performance ◽  
The Mean ◽  
Maximum Correntropy Criterion ◽  
Non Gaussian ◽  
Variable Center

Classical adaptive filtering algorithms with a diffusion strategy under the mean square error (MSE) criterion can face difficulties in distributed estimation (DE) over networks in a complex noise environment, such as non-zero mean non-Gaussian noise, with the object of ensuring a robust performance. In order to overcome such limitations, this paper proposes a novel robust diffusion adaptive filtering algorithm, which is developed by using a variable center generalized maximum Correntropy criterion (GMCC-VC). Generalized Correntropy with a variable center is first defined by introducing a non-zero center to the original generalized Correntropy, which can be used as robust cost function, called GMCC-VC, for adaptive filtering algorithms. In order to improve the robustness of the traditional MSE-based DE algorithms, the GMCC-VC is used in a diffusion adaptive filter to design a novel robust DE method with the adapt-then-combine strategy. This can achieve outstanding steady-state performance under non-Gaussian noise environments because the GMCC-VC can match the distribution of the noise with that of non-zero mean non-Gaussian noise. The simulation results for distributed estimation under non-zero mean non-Gaussian noise cases demonstrate that the proposed diffusion GMCC-VC approach produces a more robustness and stable performance than some other comparable DE methods.

scholarly journals Diffusion Maximum Correntropy Criterion Based Robust Spectrum Sensing in Non-Gaussian Noise Environments

Entropy ◽  
2018 ◽  
Vol 20 (4) ◽  
pp. 246 ◽  
Author(s):  
Xiguang Xu ◽  
Hua Qu ◽  
Jihong Zhao ◽  
Feiyu Yan ◽  
Weihua Wang
Keyword(s):  
Spectrum Sensing ◽  
Gaussian Noise ◽  
Maximum Correntropy Criterion ◽  
Non Gaussian

UKF Based on Maximum Correntropy Criterion in the Presence of Both Intermittent Observations and Non-Gaussian Noise

2020 ◽  
Vol 20 (14) ◽  
pp. 7766-7773 ◽  
Author(s):  
Zhihong Deng ◽  
Lei Shi ◽  
Lijian Yin ◽  
Yuanqing Xia ◽  
Baoyu Huo
Keyword(s):  
Gaussian Noise ◽  
Maximum Correntropy Criterion ◽  
Non Gaussian
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