Huber-based novel robust unscented Kalman filter

This study concerns the unscented Kalman filter (UKF) for the non-linear dynamic systems with error statistics following non-Gaussian probability distributions. A novel robust unscented Kalman filter (NRUKF) is proposed. In the NRUKF the measurement information (measurements or measurements noise) is reformulated using Huber cost function, then the standard unscented transformation (UT) is applied to exact non-linear measurement equation. Compared with the conventional Huber-based unscented Kalman filter (HUKF) which is derived by applying the Huber technique to modify the measurement update equations of the standard UKF, the NRUKF, without linear (statistical linear) approximation, has much-improved performance and versatility with maintaining the robustness. Then the NRUKF is applied to the target tracking problem. The validity of the algorithm is demonstrated through numerical simulation study.