Nonlinear Non-Gaussian Estimation Using Maximum Correntropy Square Root Cubature Information Filtering

Abstract

This paper concerns the nonlinear filter designing methods in the information space of the nonlinear systems with non-Gaussian noises. Firstly, the prediction information vector is obtained by the traditional square root cubature information filtering algorithm. Then, under the maximum correntropy criterion, the prediction information vector is corrected with the contribution information vector obtained by the non-Gaussian measurement. The information filtering gain is obtained by utilizing the state information correntropy matrix and the measurement information correntropy matrix, in which, the state prediction is taken as the state value. In order to improve the advantage of the above nonlinear non-Gaussian information filter in filtering accuracy, with the help of fixed-point theory, an iterative computation method is further developed to update the estimation information vector and the state estimate. The effectiveness of the two proposed nonlinear non-Gaussian filtering methods is illustrated in final four simulation examples.

Keywords

• Maximum correntropy criterion
• information correntropy matrix
• square root cubature information filter