Gaussian-Beta Filters With Unknown Probability of Measurement Loss

Abstract

Data loss is ubiquitous in practical engineering applications due to communication delay or congestion. Data loss rate is a key metric to evaluate the reliability of state estimation. To jointly estimate system state and data loss rate, we propose a class of Gaussian-Beta filters for linear and moderate nonlinear Gaussian state-space models with unknown probability of measurement loss. In the filters, the arrival of the measurement at each time is formulated as a binary random variable, which is determined by the classical threshold technology. In addition, the hidden state and the unknown probability of measurement loss are modeled as a product of Gaussian and Beta distributions, and the form remains unchanged through recursive operations. Simulation results verify the effectiveness of the proposed Gaussian-Beta filters compared with the existing filtering algorithms.

Keywords

• State-space model
• measurement loss
• threshold technology
• Gaussian-Beta filter