More and more applications under Internet of Things have strong need for more dedicated localization techniques. As a wireless signal strength measurement standard, received signal strength indicator (RSSI) nowadays is widely utilized as a quantity to build advanced fingerprint indoor localization techniques. However, the mixed noise such as Gaussian noise together with the abrupt noise always causes the deviation of the RSSI value and the mismatched fingerprints in the fingerprint-based method, which results in the deterioration of positioning accuracy. In this paper, we propose an online risk-sensitive localization technique named compositional online kernel indoor localization (COKIL), which further improves the performance and reduces the prediction variance under multi-path effects. Meanwhile, the Student’s t kernel is firstly employed in COKIL to fight against RSSI instability, which leads to the great performance improvement compared with the Gaussian kernel. Moreover, surprise criterion, novelty criterion and kernel orthogonal matching pursuit are embedded into COKIL to reduce the size of the neural networks. Comparing their performances in experiments, surprise criterion is the optimal sparse method in practice. Finally, a new model-based technique, RSSIq, is proposed to deal with the missing fingerprints, which significantly improves the performance in indoor environment compared to traditional path-loss model.