Linear and Nonlinear Regression-Based Maximum Correntropy Extended Kalman Filtering

The extended Kalman filter (EKF) is a method extensively applied in many areas, particularly, in nonlinear target tracking. The optimization criterion commonly used in EKF is the celebrated minimum mean square error (MMSE) criterion, which exhibits excellent performance under Gaussian noise assumption. However, its performance may degrade dramatically when the noises are heavy tailed. To cope with this problem, this paper proposes two new nonlinear filters, namely the linear regression maximum correntropy EKF (LRMCEKF) and nonlinear regression maximum correntropy EKF (NRMCEKF), by applying the maximum correntropy criterion (MCC) rather than the MMSE criterion to EKF. In both filters, a regression model is formulated, and a fixed-point iterative algorithm is utilized to obtain the posterior estimates. The effectiveness and robustness of the proposed algorithms in target tracking are confirmed by an illustrative example.