An adaptive IMM filter for jump Markov systems with inaccurate noise covariances in the presence of missing measurements

This paper derives a Kullback-Leibler average (KLA) based adaptive interacting multiple model (IMM) filter for jump Markov systems with inaccurate noise covariances in the presence of missing measurements. Firstly, a switching error model (SEM) is constructed to model the probability density function of measurement likelihood. The SEM can automatically choose appropriate error model for the real measurement or pure measurement noise by estimating a binary indicator. Secondly, by assigning conjugate priors on inaccurate noise covariances and binary indicator, the state, noise covariances and binary indicator are jointly estimated based on variational Bayesian (VB) technique. Finally, by using the KLA fusion scheme to fuse the conditioned estimates from every mode in the mixing and output phase, an adaptive IMM filter is derived. Simulation results demonstrate that the proposed filter achieves better performance than existing typical algorithms.