Huber-Based Divided Difference Filtering

T HIS Note describes a robust modification of the divided difference filtering technique. The robust technique relies on Huber’s generalized maximum likelihood approach to estimation [1]. Specifically,Huber’smethod is a combinedminimum ‘1and ‘2norm estimation technique, which exhibits robustnesswith respect to deviations from the commonly assumed Gaussian error probability density functions, for which the least–squares or minimum ‘2-norm technique exhibits a severe degradation in estimation accuracy [2]. TheHuber-based estimates are robust in the sense that theyminimize the maximum asymptotic estimation variance when applied to contaminated Gaussian densities. The Huber technique was originally developed as a generalization of maximum likelihood estimation, applied first to estimating the center of a probability distribution in [1] and generalized tomultiple linear regression in [2– 4]. The Kalman filter is a recursive minimum ‘2-norm technique and therefore exhibits sensitivity to deviations in the true underlying error probability distributions [5]. For this reason, theHuber technique has been further extended to dynamic estimation problems. Boncelet and Dickinson [6] first proposed to solve the robust filtering problem by means of the Huber technique at each measurement, by expressing the discrete-time Kalman filter as a sequence of linear regression problems. The authors do not provide any simulation results to validate the proposed technique. Kovacevic et al. [7] follow thework of [6] and develop a robust Kalman filter using the Huber technique applied to a linear regression problem at each measurement update. References [8–10] express the dynamic filtering problem as a sequential linear regression to be solved by the Huber technique and apply the filter to underwater vehicle tracking, power system state estimation, and spacecraft rendezvous navigation, respectively. The increase in computation due to the use of the Huber technique was found in [10] to be small. It should be noted that [6–10] apply the Huber methodology to linearized filters. The divided difference filter is one of several new estimation techniques that are collectively known as sigma-point Kalman filters (SPKF). The first-order (DD1) and second-order (DD2) divided difference filters [11,12] are generalizations of the filter introduced by Schei [13] and are two examples of SPKF-class estimators; other examples can be found in [14–16]. Like the basic Kalman filter, the SPKFs seek to determine a state estimate that minimizes the ‘2 norm of the residuals. The SPKF technique differs from the standard Kalmanfilter in the sense that the SPKFs do not linearize the dynamic system for the propagation, but instead propagate a cluster of points centered around the current estimate to form improved approximations of the conditional mean and covariance. Specifically, the divided difference filters make use of multidimensional interpolation formulas to approximate the nonlinear transformations. As a result of this approach, the filter does not require knowledge or existence of the partial derivatives of the system dynamics and measurement equations. SPKFs have the additional advantage over the basic Kalman filter in that they can easily be extended to determine second-order solutions to the minimum ‘2-norm filtering problem, which increases the estimation accuracywhen the system andmeasurement equations are nonlinear. It is important to note that the SPKFs use a minimum ‘2-norm measurement update and are therefore subject to the same sensitivity to non-Gaussian measurement errors as the Kalman filter. Therefore, the purpose of this Note is tomodify the DD1 andDD2measurement update equations by making use of the Huber technique to provide robustness against deviations from Gaussianity without a large increase in computation. This Note first provides a short review of the DD1 and DD2 filters and then shows how the measurement update can be expressed in terms of a standard regression problem, which can be solved using the robust Huber technique. The filtering techniques are then applied to a benchmark problem that involves estimating the trajectory of an entry body from discrete-time range data measured by a radar tracking station. The simulation is conducted using Monte Carlo techniques for both Gaussian and non-Gaussian cases. The computational cost associated with each filter is provided.