Robust and Constrained Estimation of State-Space Models: A Majorization-Minimization Approach

Abstract: In this paper, we present a novel optimization algorithm designed specifically for estimating state-space models to deal with heavy-tailed measurement noise and constraints. Our algorithm addresses two significant limitations found in existing approaches: susceptibility to measurement noise outliers and difficulties in incorporating constraints into state estimation. By formulating constrained state estimation as an optimization problem and employing the Majorization-Minimization (MM) approach, our framework provides a unified solution that enhances the robustness of the Kalman filter. Experimental results demonstrate high accuracy and computational efficiency achieved by our proposed approach, establishing it as a promising solution for robust and constrained state estimation in real-world applications.