Innovation Feedback Kalman Filter

Abstract

The conventional Kalman filter demands complete knowledge of the actual filter model, which is usually inaccessible in practical problems. When dealing with the filtering problem with uncertainty, any improper prediction of the uncertainty may degrade the filtering performance and even lead to divergence phenomenon. In this paper, the innovation feedback Kalman filter, which introduces the innovation feedback controller to the Kalman filter equations, is newly proposed on the basis of automatic control theory to address the filtering problem with uncertainty and is different from other filtering methods. By studying the estimate error equations, the estimate bias is extracted and its propagation mechanism is formulated. The estimate bias propagation equations reveal that eliminating the estimate bias essentially equivalents to an output regulation problem with uncertain exosystem. And a concise yet effective innovation feedback controller is subsequently given as an example. The proposed method is applied to one-dimension target tracking scenario and its high estimation accuracy performance and good stability are simulated through a comparative analysis with the ideal filtering results.