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Seminar on Control Theory and Nonlinear Filtering
On the Stable Cholesky Factorization-based Method for the Maximum Correntropy Criterion Kalman Filtering
On the Stable Cholesky Factorization-based Method for the Maximum Correntropy Criterion Kalman Filtering
Organizer
Speaker
Yangtianze Tao
Time
Friday, December 1, 2023 9:30 PM - 10:00 PM
Venue
Online
Abstract
In this presentation, we shall introduce the research devoted to the design of numerically stable square-root implementations for the maximum correntropy criterion Kalman filtering (MCC-KF). In contrast to the previously obtained results, the first robust (with respect to round-off errors) method within the Cholesky factorization-based approach is revealed. The method is formulated in terms of square-root factors of the covariance matrices, i.e. it belongs to the covariance-type filtering methodology. Additionally, a numerically stable orthogonal transformation is utilized at each iterate of the algorithm for accurate propagation of the Cholesky factors involved. The results of numerical experiments illustrate a superior performance of the novel MCCKF implementation compared to both the conventional algorithm and its previously published Cholesky-based variant.