A Gaussian mixture regression model based adaptive filter for non-Gaussian noise without a priori statistic

Abstract In many engineering systems, the distribution of measurement noise is unknown and non-Gaussian, such as skewed, multimodal, time-varying distributions and we can not obtain these prior statistics in advance. How to achieve state estimation via this kind of non-Gaussian measurement noises without prior statistic information is a challenging problem. In this paper, a novel Gaussian mixture regression model (GMRM) is proposed to model the unknown non-Gaussian measurement likelihood for Bayesian update to achieve nonlinear state estimation. Without any prior assumption or limitation of measurement noises’ statistics and distributions, the GMRM can still describe the measurement likelihood accurately based on a group of parameters which are adjusted by maximizing the evidence lower bound. Based on the optimized GMRM, a new variational Bayesian Gaussian mixture filter is proposed by using the variational Bayesian approach. To eliminate the influence of the initialization of the introduced parameters, a learning scheme is proposed to adaptively optimize their hyper-parameters based on the historical measurements. Finally, simulation examples are employed to illustrate the effectiveness of the filter.