1. Introduction
Since its development in 1960 by Kalman [
1], the Kalman filter has been widely utilized in ocean-atmosphere science to develop numerous nonlinear filters [
2]. The EKF, UKF, EnKF, and CKF are commonly used variations of the Kalman filter [
3]. The EKF linearizes nonlinear systems using the Jacobian matrix and first-order Taylor expansion, making it suitable for navigation, target tracking, data fusion, and state estimation [
4]. However, the Jacobian matrix has limitations in achieving precise linearization with decreasing gradients [
5]. The UKF, on the other hand, utilizes the unscented transform to avoid the need for computing the Jacobian matrix. However, it requires accurate prior knowledge of the system noise statistics, which can be challenging to describe correctly in dynamic environments, potentially leading to incomplete or divergent filtering solutions [
6].
The EnKF belongs to the class of particle filters, where an ensemble of state estimates is selected to represent the initial probability distribution [
7,
8]. These estimates are propagated through the nonlinear system, approximating the probability density function of the true state [
9]. However, for highly nonlinear applications requiring high precision and a finite ensemble size, the EnKF may not be optimal [
10]. The CKF utilizes a third-degree cubature rule and offers advantages such as reduced parameters [
11,
12], improved stability, and accuracy compared to the UKF [
13,
14]. It is widely used to handle nonlinear problems [
15], but applying the CKF to a nonlinear system requires knowledge of the mathematical model and noise statistics, which can be challenging to obtain in practical applications [
16].
Over the last few years, considerable effort has been spent on developing the RCKF based on Huber’s idea of M-estimation and the traditional CKF. It can handle the problem of performance degradation, and the tracking curves are discretized whenever the data diverge from the previous noise statistics.
Table 1 shows a comparison of relevant works for illustration.
Previous studies have shown that the RCKF algorithm provides significant improvements in tracking accuracy and stability in many applications, outperforming traditional methods. However, these studies failed to deal with the problem of missing measurements in nonlinear systems, which frequently occur in practical scenarios due to imprecise observations.
This paper suggests an RCKF technique based on Huber’s idea of M-estimation and the CKF for the estimation of the state of nonlinear systems with missing measurements. Missing measurements are often an inescapable occurrence in many practical scenarios due to the specific variables associated with erroneous observations. Interruptions in the technical aspects of observation, shrinkage occurrences in the diffusion channels, and erroneously lost measurements are some of the reasons for missing data. In addition, data inaccessibility is also a possibility [
20,
21]. To describe missing measurements using random variables, the Bernoulli distribution is more commonly used than the Markov chain [
22]. We summarize the contributions and significance of this paper as follows:
The RCKF was developed by integrating Huber’s M-estimation theory with the standard CKF to effectively handle nonlinear systems, with missing measurements characterized using random variables following the Bernoulli distribution.
The RCKF exhibited superior performance compared to the EKF, EnKF, and CKF in terms of accuracy and reliability on two moving-target tracking models (UNGM and BOT) with missing measurements, indicating that the RCKF is the most effective approach for nonlinear systems with missing measurements.
This paper is organized as follows:
Section 2 presents an analysis of a nonlinear system that is afflicted by missing measurements.
Section 3 delves into the CKF and provides an in-depth discussion on Gaussian Bayesian filters.
Section 4 proposes a novel approach to enhance the robustness of the CKF using robust estimation theory. In
Section 5, a robust CKF is presented and applied in two numerical instances to compare its performance with existing filters. Finally,
Section 6 concludes the paper.
2. Nonlinear System with Missing Measurements
The following equations formulate a nonlinear system with missing measurements [
22]:
where
k is the discrete time index;
is the state vector;
is the measurement vector;
and
are process noise and measurement noise, respectively;
and
are the known nonlinear functions. Additionally, the nonlinear systems (
1) and (
2) are assumed to have the following properties:
The initial state follows a Gaussian distribution, i.e., .
The noise sequences and are independent Gaussian sequences with zero means, and the covariance matrix of is denoted as , while the covariance matrix of is denoted as .
A Bernoulli distribution is utilized to describe missing measurements by incorporating the measurement function
with the following property-related statistical features:
and
[
23]. When
, the sensor obtains data with precision; conversely, it simply captures noise when
and no measurements are taken. Note that when referring to models (
1) and (
2) as reflective of the existence of missing measurements, the system receives data from the sensor at all times, and it is impossible to determine whether the data
are obtained when
or
. Despite the fact that the nonlinear system with missing measurements has become increasingly prevalent in real-life situations owing to multiplicative noise
, it complicates the attainment of optimal filtering outcomes.
This study aimed to utilize the concept of the least mean square error to construct an RCKF for nonlinear discrete systems represented by (
1) and (
2). The RCKF method is dependent on the robust M-estimation technique.
Bayesian filtering seeks to estimate the probability density function (PDF) of state variable
based on the sequence of all available measurements
up to time
k. Thus, it is required to construct the posterior PDF
and the prior PDF
of the state variables
. That is, the condition PDF of
given
and
can be recursively computed using the provided solutions.
Assuming that
and
, we can obtain the conditional probability densities in (
3) and (
4) by calculating the mean and covariance using the Kalman filter (KF) [
24]. The KF has two stages of operation: time and measurement updates. While some sources use the terms “forecast” and “analysis”, others use “prediction” and “update” to describe these two stages. For details, see [
25];
Figure 1 summarizes the algorithm of the KF.
4. Robust Cubature Kalman Filter with Missing Measurements
In the context of applying the CKF to a nonlinear system, it is imperative to possess a comprehensive understanding of the noise statistics associated with the device as well as its mathematical model. However, in the event that a filter is established based on an inaccurate mathematical model and noise statistics, there is a possibility of encountering a significant inaccuracy in the estimation of the system’s state or even the divergence of the estimation [
16]. The robust M-estimation theory is a valuable technique for estimating unknown noise statistics [
28]. Robust M-estimation can be employed to identify anomalies in state estimation. Additionally, the continuous updating of the statistical features of measurement noise enables the CKF to adapt to variations in the statistical characteristics of measurement noise in real time. The RCKF technique is formed by integrating Huber’s M-estimation theory with the conventional CKF model [
26]. In this paper, this technique is used to deal with nonlinear systems with missing measurements. The algorithm will be derived in the subsequent sections. In contrast to the conventional CKF method, the RCKF technique selectively modifies and updates the appropriate representations within the measurement updating formula:
where
can be obtained by estimating a weight matrix
B using an absence of difference M-estimation approach, and
is equal to the measurement noise variance matrix
. That is,
where the matrix
is created using Huber’s approach [
29]. This process depends on considering the KF as a linear regression problem, as explained in [
28], that can be solved with resistance and robust efficiency using the M-estimation. This minimizes the cost function as follows:
Here,
denotes the residue vector’s
t-th component
where
is a residual component associated with the observation quantity
, and
is the mean square error associated with
. The expressions
and
are used in practice because the covariance matrix of the measurement residuals is acquired from (
16), which is the variable quantity
previous to being adjusted:
The score function
is defined as follows [
30,
31]:
where
c is a constant that is typically between 1.3 and 2.0 [
16]. When the partial derivative of (
24) is set to zero,
where
is the state vector in the
t-th component. Following
we can obtain the formula
Depending on (
30), the Huber approach will determine which diagonal components of
are positive. An identical expression is provided below:
where the diagonal and off-diagonal elements in the matrix
are denoted as
and
, respectively. Similarly, the diagonal and off-diagonal elements in the measurement noise
are represented as
and
, respectively. The element
is equal to zero due to the fact that the matrix representing the covariance of measurement noise is diagonal. The symbol
represents the measurement residual, while
denotes the standard residual error. Additionally,
represents the mean variance of
. The algorithm for the given RCKF with missing measurements is depicted in
Figure 3.
7. Conclusions
This study presented the RCKF as a filter for nonlinear systems with missing measurements. In order to accomplish this objective, we combined Huber’s M-estimation theory with the conventional CKF for nonlinear systems with missing observations and developed the filter using a recursive method. We demonstrated the effectiveness of the proposed method through two examples, the UNGM and BOT, and compared it with the EKF, EnKF, and CKF. The results showed that the RCKF provided more precise and credible outcomes compared to the other methods, with the highest accuracy observed in the UNGM example. Also, in the BOT example, the RCKF exhibited essentially superior accuracy to other methods. In general, compared to traditional techniques such as the EKF, EnKF, and CKF, the RCKF demonstrated the best accuracy and credibility for nonlinear systems with missing measurements.
Future research will focus on extending the RCKF to capture missing measurement phenomena through a general Markov chain rather than a Bernoulli sequence of identical independent distributions. Additionally, we propose using the RCKF as an alternate approach for estimating the state of nonlinear systems when the system noises follow a non-Gaussian distribution instead of a Gaussian distribution.