Maximum Correntropy High-Order Extended Kalman Filter  

作　　者：SUN Xiaohui WEN Chenglin WEN Tao 

机构地区：[1]School of Automation,Hangzhou Dianzi University,Hangzhou 310018,China [2]School of Automation,Guangdong University of Petrochemical Technology,Maoming 525000,China [3]School of Electronic and Information Engineering,Beijing Jiaotong University,Beijing 100044,China

出　　处：《Chinese Journal of Electronics》2022年第1期190-198,共9页电子学报（英文版）

基　　金：supported by the National Natural Science Foundation of China(61751304,61806064,61933013,61703385,U1664264);Science and Technology Project of China Electric Power Research Institute(SGHB0000KXJS1800375)。

摘　　要：In this paper, a novel maximum correntropy high-order extended Kalman filter(H-MCEKF) is proposed for a class of nonlinear non-Gaussian systems presented by polynomial form. All high-order polynomial terms in the state model are defined as implicit variables and regarded as parameter variables;the original state model is equivalently formulated into a pseudo-linear form with original variables and parameter variables;the dynamic relationship between each implicit variable and all variables is modeled, then an augmented linear state model appears by combing with pseudo-linear state model;similarly, the nonlinear measurement model can be equivalently rewritten into linear form;once again, the statistical characteristics of non-Gaussian modeling error are described by mean value and variance based on their finite samples;combing original measurement model with predicted value regarded as added state measurement, a cost function to solve the state estimation based on maximum correntropy criterion(MCC) is constructed;on the basis of this cost function, the state estimation problem can be equivalently converted into a recursive solution problem in the form of Kalman filter, in which the filter gain matrix is solved by numerical iteration though its fixed-point equation;illustration examples are presented to demonstrate the effectiveness of the new algorithm.

关 键 词：Maximum correntropy criterion Implicit variables High-order extended Kalman filter Fixed-point equation 

分 类 号：TN713[电子电信—电路与系统]