A robust approach to sigma point Kalman filtering

Abstract

We propose a robust estimator for nonlinear state-space models and provide a clear interpretation of it as the minimizer of a minimax game. The corresponding maximizer searches for the least favorable model over an ambiguity set whose center is obtained by approximating the nominal model through a sigma-point transformation. Moreover, we develop a Markov Chain Monte Carlo (MCMC) scheme for generating adversarial data from it, thereby allowing the assessment of the resulting uncertainty.