Robust Kriged Kalman Filtering

Although the kriged Kalman filter (KKF) has well-documented merits for prediction of spatial-temporal processes, its performance degrades in the presence of outliers due to anomalous events, or measurement equipment failures. This paper proposes a robust KKF model that explicitly accounts for presence of measurement outliers. Exploiting outlier sparsity, a novel l1-regularized estimator that jointly predicts the spatial-temporal process at unmonitored locations, while identifying measurement outliers is put forth. Numerical tests are conducted on a synthetic Internet protocol (IP) network, and real transformer load data. Test results corroborate the effectiveness of the novel estimator in joint spatial prediction and outlier identification.