Robust Incremental Kalman Filter for the System under Poor Observation Conditions

When the measurement equation or noise variance of the system is uncertain, the performance of the filter will deteriorate and even cause the divergence of the filter. The introduction of incremental equation is an effective method to eliminate the unknown measurement error. In this paper, a robust incremental Kalman filter based on incremental equations is proposed for linear discrete systems with unknown measurement errors and unknown noise variances, and its robustness is analyzed. Simulation results show the effectiveness and feasibility of the proposed algorithm.