Robust Particle Filtering With Time-Varying Model Uncertainty and Inaccurate Noise Covariance Matrix
Wenshuo Li, Lei Guo
Abstract
This article proposes a robust particle filtering (PF) approach for a generic class of nonlinear systems with both additive time-varying uncertainty (ATVU) in the state transition equation and inaccurate process noise covariance matrices. To avoid sampling efficiency degradation of the PF approach caused by ATVU, we employ the disturbance observer-based PF (DOBPF) approach where the effect of ATVU is compensated in the particle generation stage. Different from the existing DOBPF method where disturbance estimation is achieved via the Kalman filter, the disturbance observer adopted in this article is in the form of variational Bayesian adaptive Kalman filter (VBAKF) which deals with the inaccurate process noise covariance matrices in both the dynamic models of the state and the ATVU. Compared with conventional PF approaches, the proposed method, named VBAKF-PF, exhibits enhanced robustness against both the ATVU in the state transition equation and the uncertainties of process noise covariance matrices. The simulation results demonstrate the superiority of VBAKF-PF over both the VBAKF and DOBPF methods.