Outlier-robust Autocovariance Least Square Estimation via Iteratively Reweighted Least Square
Authors: Jiahong Li, Fang Deng
Organizations: College of Robotics, Beijing Union University, Beijing 100101, China · Key Laboratory of Intelligent Control and Decision of Complex Systems, and also with the School of Automation, Beijing Institute of Technology, Beijing 100081, China
The autocovariance least squares (ALS) method is a computationally efficient approach for estimating noise covariances in Kalman filters without requiring specific noise models. However, conventional ALS and its variants rely on the classic least mean squares (LMS) criterion, making them highly sensitive to measurement outliers and prone to severe performance degradation. To overcome this limitation, this paper proposes a novel outlier-robust ALS algorithm, termed ALS-IRLS, based on the iteratively reweighted least squares (IRLS) framework. Specifically, the proposed approach introduces a two-tier robustification strategy. First, an innovation-level adaptive thresholding mechanism is employed to filter out heavily contaminated data. Second, the outlier-contaminated autocovariance is formulated using an ε-contamination model, where the standard LMS criterion is replaced by the Huber cost function. The IRLS method is then utilized to iteratively adjust data weights based on estimation deviations, effectively mitigating the influence of residual outliers. Comparative simulations demonstrate that ALS-IRLS reduces the root-mean-square error (RMSE) of noise covariance estimates by over two orders of magnitude compared to standard ALS. Furthermore, it significantly enhances downstream state estimation accuracy, outperforming existing outlier-robust Kalman filters and achieving performance nearly equivalent to the ideal Oracle lower bound in the presence of noisy and anomalous data.
Figures & tables
Parameter
Description
Value
Nmc
Monte Carlo trials
100
Qˉ,Rˉ
True noise covariances
5,3
Q^(0),R^(0)
Initial estimates
2,1
N
Autocovariance lag window
15
τ
Batch length
150
Twu
Warm-up length with outliers
1 500
TABLE I: Simulation Parameters
Fig. 1: Innovation-level outlier detection at Monte Carlo trial 6 ( τ=150 , ε=0.15 , ω=8 ). Left: KF innovations ek ; red triangles mark the 23 flagged time steps satisfying ∣ek∣>3.5σ^e , with the threshold shown as dashed lines. Right: Raw b versus cleaned bclean : the zero-lag entry decreases from 32.4 to 4.4 while higher-lag entries are unaffected, confirming that outlier contamination is confined to C^e,0 .
Fig. 2: Partial-regression fitting comparison at Monte Carlo trial 6, batch 1 ( N=15 , τ=150 , ε=0.15 , ω=8 ). Horizontal axis: Aθ^ ; vertical axis: b . Blue crosses: uncontaminated autocovariance entries; red circle: contaminated lag-0 entry ( C^e,0raw≈32.4 , true ≈4.3 ); red square: the same entry after removal by the innovation-cleaning step. Shaded band: 95% prediction confidence interval. Standard ALS is displaced by the outlier; ALS-IRLS recovers an accurate fit with all retained entries inside the confidence band.
Fig. 3: IRLS Huber weights at Monte Carlo trial 6, batch 1 ( N=15 ). Blue bars: uncontaminated lags with wj≈1 ; purple bar: down-weighted lag-0 entry ( w0≈0.03 ). Dashed line at w=1 ; dotted line at w=0.5 . All lags beyond lag-0 retain wj≥0.95 , demonstrating selective penalisation of the contaminated entry without distorting the remaining autocovariance structure.
Fig. 4: Monte Carlo scatter of noise covariance estimates (Q^,R^) over Nmc=100 trials ( ε=0.15 , ω=8 , N=15 , τ=150 ). Left: Joint scatter; true value marked by a black star. Right: Marginal histogram of Q^ ; dashed line at Qˉ=5 . ALS estimates are widely scattered at inflated values; ALS-IRLS estimates concentrate near (Qˉ,Rˉ) .
Fig. 5: Noise covariance estimation RMSE ( ε=0.15 , ω=8 ). ALS-IRLS reduces RMSE(Q) and RMSE(R) by more than two orders of magnitude relative to ALS, confirming that innovation-level outlier removal is essential for reliable autocovariance-based identification under ε -contamination.
Fig. 6: Noise covariance estimation RMSE versus outlier rate ε ( ω=8 , N=15 , τ=150 ). Left: RMSE(Q) . Right: RMSE(R) . ALS-IRLS maintains near-constant low RMSE; standard ALS degrades sharply as contaminated C^e,0 increasingly dominates the least-squares solution.
Fig. 7: Noise covariance estimation RMSE versus lag window N ( ε=0.15 , ω=8 , τuse=max(150,3N) ). Left: RMSE(Q) . Right: RMSE(R) . Dashed vertical line: default N=15 . ALS-IRLS achieves near-minimum RMSE at the default setting; ALS degrades uniformly due to the persistent bias in C^e,0 .
Method
RMSEstate
Covariance source
Oracle KF
1.80
True (Qˉ,Rˉ)
KF + ALS-IRLS (proposed)
1.97
Online estimate
Student- t KF [ 54 ]
4.12
Fixed (0.3,0.1)
MCKF [ 55 ]
6.38
Fixed (0.3,0.1)
KF + ALS
14.25
Contaminated estimate
TABLE III: State Estimation RMSE on the Outlier-Free Evaluation Phase ( Tev=500 , Nmc=100 )
Fig. 8: Mean state estimation RMSE on the 500 -step outlier-free evaluation phase ( Nmc=100 , ε=0.15 , ω=8 ). Oracle KF (black) defines the lower bound. KF + ALS-IRLS (red) achieves RMSE within 9% of the Oracle, outperforming all compared methods. Student- t KF [ 54 ] and MCKF [ 55 ] incur 2.3× and 3.5× higher RMSE owing to misspecified Qst=0.3 , confirming that accurate covariance estimation outweighs filter-level robustness when the noise model is unknown. KF + ALS yields the largest RMSE due to the severely inflated Q^ALS≈53 .
Sensor measurements are frequently corrupted by outliers and non-Gaussian noise. These imperfections in the sensor data can cause classical state estimators to generate biased and unreliable state and uncertainty estimates. Robust estimators reject or downweight outliers but do not perform measurement covariance estimation, whereas joint state and covariance estimators assume Gaussian residuals and fixed loss shape parameters. Integrating these two capabilities into a single framework is an opportunity to simultaneously estimate both state and covariance in the presence of outliers. This paper proposes a unified Block-Coordinate Descent framework that combines a norm-aware adaptive robust loss, an Iteratively Reweighted Least-Squares state update, and a Minimum Weighted Covariance Determinant covariance estimator, yielding a self-tuning joint state and covariance estimator. The framework is evaluated in a Monte-Carlo simulation and on real-world ultra-wideband localization experiments in cluttered non-line-of-sight environments. Results show that the proposed estimator consistently recovers the true inlier measurement covariance and matches or exceeds the state estimation accuracy of all baselines, without requiring any manual parameter tuning.
Alexandre Hadji-Thomas, Andrew Stirling, James R. Forbes
Robust covariance estimation under entry-wise contamination and missing data is challenging in various signal processing applications. Under the Student-t model, observation-level reweighting induces a uniform attenuation across samples, which can lead to cumulative information loss even when most coordinates remain informative. The alternative Student-t∗ model enables coordinate-wise robustness, but its E-step is not available in closed form. We extend inference for the Student-t∗ model to incomplete observations through a stochastic approximation EM (SAEM) algorithm operating on a reduced latent space: stochastic updates of the coordinate-wise scales are combined with Rao-Blackwellized Gaussian conditional moments, which avoids explicit sampling of latent Gaussian variables while preserving a likelihood-based framework. Experiments on synthetic and real sensor data show a lower Fisher-Rao error than Gaussian, Student-t, imputation-based and detect-then-estimate estimators at moderate to high outlier rates under diffuse contamination.
Matys Savidan, Mohammed Nabil El Korso
ENS Paris-Saclay, France · Paris Saclay University, France
State estimation is a fundamental problem in control and signal processing, for which the Kalman Filter provides an optimal solution under linear dynamics, Gaussian noise, and known noise covariances. However, these assumptions often fail in realistic sensing settings such as Doppler radar and LiDAR. In these cases, the optimal estimator is inherently nonlinear, which leads to systematic performance degradation. This creates a performance gap that cannot be eliminated by tuning the noise covariance parameters (i.e., the process and measurement noise in the Kalman Filter) alone. To address this limitation, we propose Kalman Evolve, a framework for discovering improved filtering algorithms by jointly optimizing both noise parameters and the update structure. Our approach leverages large language models (LLMs) as a structured prior over program space, enabling the generation of interpretable, non-affine modifications to the classical Kalman filter while preserving its recursive form. We provide analytical results establishing the suboptimality of affine estimators under common nonlinear sensing models, motivating the need for structure-aware updates. Across a range of synthetic and real-world tracking benchmarks, including Doppler radar, LiDAR-based localization, and pedestrian tracking, the discovered algorithms consistently improve over strong baselines such as the Optimized Kalman Filter, achieving up to 12% reduction in RMSE. These results suggest that optimizing the structure of the Kalman filter, rather than only its parameters, provides a practical and interpretable way to improve state estimation.
Vasileios Saketos, Ming Xiao
KTH Royal Institute of Technology · Stockholm Sweden