A Novel Robust Interval Kalman Filter Algorithm for GPS/INS Integrated Navigation

Kalman filter is widely applied in data fusion of dynamic systems under the assumption that the system and measurement noises are Gaussian distributed. In literature, the interval Kalman filter was proposed aiming at controlling the influences of the system model uncertainties. The robust Kalman filter has also been proposed to control the effects of outliers. In this paper, a new interval Kalman filter algorithm is proposed by integrating the robust estimation and the interval Kalman filter in which the system noise and the observation noise terms are considered simultaneously. The noise data reduction and the robust estimation methods are both introduced into the proposed interval Kalman filter algorithm. The new algorithm is equal to the standard Kalman filter in terms of computation, but superior for managing with outliers. The advantage of the proposed algorithm is demonstrated experimentally using the integrated navigation of Global Positioning System (GPS) and the Inertial Navigation System (INS).