Robust Bayesian Inference for Moving Horizon Estimation

The accuracy of moving horizon estimation (MHE) suffers significantly in the presence of measurement outliers. Existing methods address this issue by treating measurements leading to large MHE cost function values as outliers, which are subsequently discarded. This strategy, achieved through solving combinatorial optimization problems, is confined to linear systems to guarantee computational tractability and stability. Contrasting these heuristic solutions, our work reexamines MHE from a Bayesian perspective, unveils the fundamental issue of its lack of robustness: MHE's sensitivity to outliers results from its reliance on the Kullback-Leibler (KL) divergence, where both outliers and inliers are equally considered. To tackle this problem, we propose a robust Bayesian inference framework for MHE, integrating a robust divergence measure to reduce the impact of outliers. In particular, the proposed approach prioritizes the fitting of uncontaminated data and lowers the weight of contaminated ones, instead of directly discarding all potentially contaminated measurements, which may lead to undesirable removal of uncontaminated data. A tuning parameter is incorporated into the framework to adjust the robustness degree to outliers. Notably, the classical MHE can be interpreted as a special case of the proposed approach as the parameter converges to zero. In addition, our method involves only minor modification to the classical MHE stage cost, thus avoiding the high computational complexity associated with previous outlier-robust methods and inherently suitable for nonlinear systems. Most importantly, our method provides robustness and stability guarantees, which are often missing in other outlier-robust Bayes filters. The effectiveness of the proposed method is demonstrated on simulations subject to outliers following different distributions, as well as on physical experiment data.