DocumentCode :
2383120
Title :
On the stability of the recursive Kalman filter for linear time-invariant systems
Author :
Costa, Eduardo F. ; Astolfi, Alessandro
Author_Institution :
Depto. de Mat. Aplic. e Estatistica, Univ. de Sao Paulo, Sao Carlos
fYear :
2008
fDate :
11-13 June 2008
Firstpage :
1286
Lastpage :
1291
Abstract :
Stability of the Kalman filter for linear time-invariant systems is studied from the perspective of divergence of the estimation error under incorrect noise measurement. We provide testable, necessary and sufficient conditions for the filter to be stable, stable with respect to perturbations in the initial error covariance, or semi-stable, respectively meaning that the estimate error covariance is bounded, bounded for perturbations in the initial error covariance or that it does not diverge exponentially. Previous conditions present some degrees of conservativeness or address only stability.
Keywords :
Kalman filters; covariance analysis; estimation theory; invariance; linear systems; noise measurement; recursive filters; stability; estimate error covariance; incorrect noise measurement; linear time-invariant system; recursive Kalman filter; stability; Control systems; Educational institutions; Estimation error; Filters; Noise measurement; Space stations; Stability; Sufficient conditions; Testing; White noise;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
American Control Conference, 2008
Conference_Location :
Seattle, WA
ISSN :
0743-1619
Print_ISBN :
978-1-4244-2078-0
Electronic_ISBN :
0743-1619
Type :
conf
DOI :
10.1109/ACC.2008.4586670
Filename :
4586670
Link To Document :
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