Generalized minimum error entropy Kalman filter for non-Gaussian noise

Error entropy is a well-known learning criterion in information theoretic learning (ITL), and it has already been applied to a wide range of fields. However, the shape of error entropy cannot be changed freely since its kernel function is the Gaussian kernel function, which causes the error entropy-based algorithm to handle only some specific kinds of noises. Benefiting from the property that the generalized Gaussian kernel function is free to adjust its shape, a novel Kalman-type filter algorithm based on the generalized minimum error entropy (GMEEKF) criterion is derived. Moreover, the mean error behavior, mean square error behavior, and computational complexity of the GMEEKF algorithm are analyzed. Finally, several simulations and experiments are performed to demonstrate the performance of the GMEEKF algorithm in comparison with the existing Kalman-type filter algorithms.(c) 2022 ISA. Published by Elsevier Ltd. All rights reserved.