Robust Interacting Multiple Model Filter Based on Student's t-Distribution for Heavy-Tailed Measurement Noises.

Abstract

In maneuvering target tracking applications, the performance of the traditional interacting multiple model (IMM) filter deteriorates seriously under heavy-tailed measurement noises which are induced by outliers. A robust IMM filter utilizing Student’s t-distribution is proposed to handle the heavy-tailed measurement noises in this paper. The measurement noises are treated as Student’s t-distribution, whose degrees of freedom (dof) and scale matrix are assumed to be governed by gamma and inverse Wishart distributions, respectively. The mixing distributions of the target state, dof, and scale matrix are achieved through the interacting strategy of IMM filter. These mixing distributions are used for the initialization of time prediction. The posterior distributions of the target state, dof, and scale matrix conditioned on each mode are obtained by employing variational Bayesian approach. Then, the target state, dof, and scale matrix parameters are jointly estimated. A variational method is also given to estimate the mode probability. The unscented transform is utilized to solve the nonlinear estimation problem. Simulation results show that the proposed filter improves the estimation accuracy of target state and mode probability over existing filters under heavy-tailed measurement noises.