Title :
Error boundedness for the CGEKF with exponential data weighting
Author :
Gunther, Stefan ; Reif, Konrad ; Unbehauen, Rolf
Author_Institution :
Lehrstuhl fur Allgemeine und Theor. Elektrotechnik, Univ. Erlangen-Nurnberg, Erlangen, Germany
fDate :
Aug. 31 1999-Sept. 3 1999
Abstract :
This paper is on the constant gain extended Kalman filter (CGEKF) with exponential data weighting as a state estimator for nonlinear stochastic systems. In particular we state that under certain conditions the estimation error is exponentially bounded in mean square and further uniformly stochastically bounded. These theoretical results are verified by numerical simulations, where we present some selected cases with bounded as well as unbounded estimation error and show the effect of the exponential data weighting constant.
Keywords :
Kalman filters; nonlinear filters; nonlinear systems; stochastic systems; CGEKF; constant gain extended Kalman filter; error boundedness; exponential data weighting; mean square; nonlinear stochastic systems; state estimator; unbounded estimation error; Angular velocity; Differential equations; Estimation error; Noise; Numerical simulation; Stochastic processes; Stochastic systems; CGEKF; Nonlinear systems; exponential data weighting; state estimation; stochastic systems;
Conference_Titel :
Control Conference (ECC), 1999 European
Conference_Location :
Karlsruhe
Print_ISBN :
978-3-9524173-5-5
