Outlier-Insensitive Kalman Filtering Using NUV Priors

Shunit Truzman, Guy Revach, Nir Shlezinger, Itzik Klein

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

The Kalman filter (KF) is a widely-used algorithm for tracking the latent state of a dynamical system from noisy observations. For systems that are well-described by linear Gaussian state space models, the KF minimizes the mean-squared error (MSE). However, in practice, observations are corrupted by outliers, severely impairing the KF's performance. In this work, an outlier-insensitive KF (OIKF) is proposed, where robustness is achieved by modeling a potential outlier as a normally distributed random variable with unknown variance (NUV). The NUV's variance is estimated online, using both expectation-maximization (EM) and alternating maximization (AM). The former was previously proposed for the task of smoothing with outliers and was adapted here to filtering, while both EM and AM obtained the same performance and outperformed the other algorithms, the AM approach is less complex and thus requires 40% less runtime. Our empirical study demonstrates that the MSE of our proposed outlier-insensitive KF outperforms previously proposed algorithms, and that for data clean of outliers, it reverts to the classic KF, i.e., MSE optimality is preserved.

Original languageEnglish
Title of host publicationICASSP 2023 - 2023 IEEE International Conference on Acoustics, Speech and Signal Processing, Proceedings
PublisherInstitute of Electrical and Electronics Engineers
ISBN (Electronic)9781728163277
DOIs
StatePublished - 1 Jan 2023
Event48th IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2023 - Rhodes Island, Greece
Duration: 4 Jun 202310 Jun 2023

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Volume2023-June
ISSN (Print)1520-6149

Conference

Conference48th IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2023
Country/TerritoryGreece
CityRhodes Island
Period4/06/2310/06/23

Keywords

  • AM
  • Kalman filter
  • outliers

ASJC Scopus subject areas

  • Software
  • Signal Processing
  • Electrical and Electronic Engineering

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