Variational Robust Kalman Filters: A Unified Framework

TL;DR

This paper introduces a variational robust Kalman filter that unifies robustness and adaptivity using a Student's t-distribution and variational inference, improving performance in complex noise environments.

Contribution

It proposes a novel probabilistic framework that merges robustness and adaptivity in Kalman filtering, capable of recovering various existing filters by parameter tuning.

Findings

The proposed filter outperforms traditional methods in complex noise scenarios.

Simulations confirm the effectiveness and computational efficiency of the approach.

The framework can recover conventional, robust, and adaptive Kalman filters.

Abstract

Robustness and adaptivity are two competing objectives in Kalman filters (KF). Robustness involves temporarily inflating prior estimates of noise covariances, while adaptivity updates prior beliefs by exploiting measurements. In practical applications, both process and measurement noise can be influenced by outliers, be time-varying, or both. In this work, we propose a variational robust Kalman filter, built on a Student's $t$-distribution induced loss function and variational inference, and solved in a computationally efficient manner. We demonstrate that robustness can be understood as a prerequisite for adaptivity, making it possible to merge the above two competing goals into a single framework through a probabilistic switching rule. Additionally, our proposed filter can recover conventional KF, robust KF, and adaptive KF by tuning parameters, and can suppress both the imperfect process and measurement noise, enabling it to perform superiorly in complex noise environments. Simulations verify the effectiveness of the proposed method.