RESUMO
This paper proposes a recursive filter for discrete-time linear dynamic systems subject to output outliers or heavy-tailed noises. First, we introduce a weight matrix in the conventional MAP estimation. It is shown that this matrix plays an influential role in the innovation whitening and asymptotic variance of the modified MAP estimation and, consequently, can be used in outlier detection. Then, we propose two different constrained optimization problems to obtain this weight. These constraints, stemming from environmental noise characteristics, help to obtain the weight matrix more precisely, which increases the filtering performance significantly. In the first approach, we introduce a convex optimization problem to minimize the estimation upper bound of the error covariance matrix. The second approach converts the modified MAP estimation to a min-min optimization problem with a concave cost function. Consequently, to reduce the effect of outliers in estimation, a semidefinite program (SDP) is proposed for outlier detection. At last, simulation results show the effectiveness and verify the performance of the proposed filter for dynamic systems in the presence of measurement outliers.
