Robust Estimation Based on the Least Absolute Deviations Method and the Kalman Filter

2020 ◽  
Vol 81 (11) ◽  
pp. 1994-2010
Author(s):  
B. M. Miller ◽  
K. S. Kolosov
2022 ◽  
Vol 421 ◽  
pp. 126915
Author(s):  
A.S.M. Bakibillah ◽  
Yong Hwa Tan ◽  
Junn Yong Loo ◽  
Chee Pin Tan ◽  
M.A.S. Kamal ◽  
...  

2019 ◽  
Vol 286 ◽  
pp. 07013
Author(s):  
N. Kumar ◽  
F. Kerhervé ◽  
L. Cordier

The design of active model-based flow controllers requires the knowledge of a dynamical model of the flow. However, real-time and robust estimation of the flow state remains a challenging task when only limited spatial and temporal discrete measurements are available. In this study, the objective is to draw upon the methodologies implemented in meteorology to develop dynamic observers for flow control applications. Well established data assimilation (DA) method using Kalman filter is considered. These approaches are extended to both estimate model states and parameters. Simple non-linear dynamical models are first considered to establish quantitative comparisons between the different algorithms. An experimental demonstration for the particular case of a plane mixing layer is then proposed.


Author(s):  
Hisham Mohamed Almongy ◽  
Ehab M. Almetwally

This paper discussed robust estimation for point estimation of the shape and scale parameters for generalized exponential (GE) distribution using a complete dataset in the presence of various percentages of outliers. In the case of outliers, it is known that classical methods such as maximum likelihood estimation (MLE), least square (LS) and maximum product spacing (MPS) in case of outliers cannot reach the best estimator. To confirm this fact, these classical methods were applied to the data of this study and compared with non-classical estimation methods. The non-classical (Robust) methods such as least absolute deviations (LAD), and M-estimation (using M. Huber (MH) weight and M. Bisquare (MB) weight) had been introduced to obtain the best estimation method for the parameters of the GE distribution. The comparison was done numerically by using the Monte Carlo simulation study. The two real datasets application confirmed that the M-estimation method is very much suitable for estimating the GE parameters. We concluded that the M-estimation method using Huber object function is a suitable estimation method in estimating the parameters of the GE distribution for a complete dataset in the presence of various percentages of outliers.


2020 ◽  
Vol 2020 ◽  
pp. 1-12
Author(s):  
Chuanyang Wang ◽  
Houzeng Han ◽  
Jian Wang ◽  
Hang Yu ◽  
Deng Yang

Ultrawideband (UWB) is well-suited for indoor positioning due to its high resolution and good penetration through objects. The observation model of UWB positioning is nonlinear. As one of nonlinear filter algorithms, extended Kalman filter (EKF) is widely used to estimate the position. In practical applications, the dynamic estimation is subject to the outliers caused by gross errors. However, the EKF cannot resist the effect of gross errors. The innovation will become abnormally large and the performance and the reliability of the filter algorithm are inevitably influenced. In this study, a robust EKF (REKF) method accompanied by hypothesis test and robust estimation is proposed. To judge the validity of model, the global test based on Mahalanobis distance is implemented to assess whether the test statistical term exceeds the threshold for outlier detection. To reduce and eliminate the effects of the individual outlier, the robust estimation using scheme III of the Institute of Geodesy and Geophysics of China (IGGIII) based on local test of the normalized residual is performed. Meanwhile, three kinds of stochastic models for outliers are expressed by modeling the contaminated distributions. Furthermore, the simulation and measurement experiments are performed to verify the effectiveness and feasibility of the proposed REKF for resisting the outliers. Simulation experiment results are given to demonstrate that the outliers following all the three kinds of contaminated distributions can be detected. The proposed REKF can effectively control the influences of the outliers being treated as systematic errors and large variance random errors. When the outliers come from the thick-tailed distribution, the robust estimation does not play a role, and the REKF are equivalent to the EKF method. The measured experiment results show that the outliers will be generated in the nonline-of-sight environment whose impact is abnormally serious. The robust estimation can provide relatively reliable optimized residuals and control the influences of the outliers caused by gross errors. We can believe that the proposed REKF is effective to resist the effects of outliers and improves the positioning accuracy compared with least-squares (LS) and EKF method. Moreover, the adaptive filter and ranging error model should be considered to compensate the state model errors and ranging systematic errors respectively. Then, the measurement outliers will be detected more correctly, and the robust estimation will be used effectively.


2016 ◽  
Vol 2016 ◽  
pp. 1-7 ◽  
Author(s):  
Chen Jiang ◽  
Shu-bi Zhang ◽  
Qiu-zhao Zhang

Kalman filter is widely applied in data fusion of dynamic systems under the assumption that the system and measurement noises are Gaussian distributed. In literature, the interval Kalman filter was proposed aiming at controlling the influences of the system model uncertainties. The robust Kalman filter has also been proposed to control the effects of outliers. In this paper, a new interval Kalman filter algorithm is proposed by integrating the robust estimation and the interval Kalman filter in which the system noise and the observation noise terms are considered simultaneously. The noise data reduction and the robust estimation methods are both introduced into the proposed interval Kalman filter algorithm. The new algorithm is equal to the standard Kalman filter in terms of computation, but superior for managing with outliers. The advantage of the proposed algorithm is demonstrated experimentally using the integrated navigation of Global Positioning System (GPS) and the Inertial Navigation System (INS).


2018 ◽  
Vol 5 ◽  
pp. 107-123 ◽  
Author(s):  
Martyna Marczak ◽  
Tommaso Proietti ◽  
Stefano Grassi

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