A robust Cubature Kalman filter for nonlinear systems subject to randomly occurring measurement anomalies without a priori statistic

In this work, we investigate the problem of state estimation for a class of nonlinear systems subjected to randomly occurring measurement anomalies (ROMAs) without a priori statistic. To address the problem, first, a novel measurement model is constructed, in which the anomalous measurements and anomaly probability are modeled as Gaussian mixture distribution (GMD) and Beta distribution, respectively. Different from the existing researches assuming that the statistical information of anomalous measurements is known in advance, the model does not require a priori statistical knowledge of anomalous measurements. Moreover, by adaptive learning of the anomaly probability, the measurement model is identical with the classical cubature Kalman filter (CKF) in the absence of measurement anomalies. Then, the variational Bayesian inference (VBI) is employed to approximately calculate the joint posterior distribution of the system state and unknown parameters, and a robust filter is derived. Finally, the effectiveness of our filter is demonstrated by the numerical simulation.