Adaptive Kalman Filtering by Covariance Sampling

It is well known that the performance of the Kalman filter deteriorates when the system noise statistics are not available a priori. In particular, the adjustment of measurement noise covariance is deemed paramount as it directly affects the estimation accuracy and plays the key role in applications such as sensor selection and sensor fusion. This letter proposes a novel adaptive scheme by approximating the measurement noise covariance distribution through finite samples, assuming the noise to be white with a normal distribution. Exploiting these samples in approximation of the system state a posteriori leads to a Gaussian mixture model (GMM), the components of which are acquired by Kalman filtering. The resultant GMM is then reduced to the closest normal distribution and also used to estimate the measurement noise covariance. Compared to previous adaptive techniques, the proposed method adapts faster to the unknown parameters and thus provides a higher performance in terms of estimation accuracy, which is confirmed by the simulation results.