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OUTLIER-INSENSITIVE KALMAN FILTERING USING NUV PRIORS

Shunit Truzman (University of Haifa); Guy Revach (ETH Zürich); Nir Shlezinger (Ben-Gurion University); Itzik Klein (University of Haifa)

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09 Jun 2023

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.

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