Title :
Divergence of the discrete-time Kalman filter under incorrect noise covariances for linear periodic systems
Author :
Sangsuk-Iam, Suwanchai
Author_Institution :
Dept. of Electr. Eng., Univ. of Thammasat, Patumtani, Thailand
fDate :
29 June-1 July 1994
Abstract :
Presents the divergence analysis of the Kalman filter under incorrect noise covariances for linear periodic discrete-time systems. The filter performance is quantified by the actual one-step predictor error covariance, and the divergent behavior of the filter is investigated through this quantity. The investigation results provide useful insights in the divergent behavior of the Kalman filter under incorrect noise covariances for linear periodic discrete-time systems.
Keywords :
Kalman filters; Riccati equations; covariance analysis; discrete time systems; linear systems; periodic control; time-varying systems; discrete-time Kalman filter; discrete-time systems; divergence analysis; filter performance; incorrect noise covariances; linear periodic systems; one-step predictor error covariance; Covariance matrix; Filtering; Kalman filters; Noise measurement; Nonlinear filters; Recursive estimation; Roentgenium; Stochastic systems; Time varying systems; White noise;
Conference_Titel :
American Control Conference, 1994
Print_ISBN :
0-7803-1783-1
DOI :
10.1109/ACC.1994.751938
