An Adaptive Filter for Nonlinear Multi-Sensor Systems with Heavy-Tailed Noise

Abstract

Aiming towards state estimation and information fusion for nonlinear systems with heavy-tailed measurement noise, a variational Bayesian Student’s t-based cubature information filter (VBST-CIF) is designed. Furthermore, a multi-sensor variational Bayesian Student’s t-based cubature information feedback fusion (VBST-CIFF) algorithm is also derived. In the proposed VBST-CIF, the spherical-radial cubature (SRC) rule is embedded into the variational Bayes (VB) method for a joint estimation of states and scale matrix, degree-of-freedom (DOF) parameter, as well as an auxiliary parameter in the nonlinear system with heavy-tailed noise. The designed VBST-CIF facilitates multi-sensor fusion, allowing to derive a VBST-CIFF algorithm based on multi-sensor information feedback fusion. The performance of the proposed algorithms is assessed in target tracking scenarios. Simulation results demonstrate that the proposed VBST-CIF/VBST-CIFF outperform the conventional cubature information filter (CIF) and cubature information feedback fusion (CIFF) algorithms.

Keywords

• nonlinear multi-sensor system
• heavy-tailed noise
• student’s t distribution
• spherical-radial cubature rule
• information fusion