Divergence of the stationary Kalman filter for correct and for incorrect noise variances |
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| Authors: | WILLEMS JACQUES L; CALLIER FRANK M |
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| Institution: |
Engineering Faculty, University of Gent Gent, Belgium
Department of Mathematics, Facultiés Universitaires de Namur Namur, Belgium
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| Abstract: | The convergence properties of the estimation error covariancefor the Kalman filter are analysed. Criteria are derived forconvergence or divergence of the estimation error if the time-invariantKalman filter is used, possibly designed for incorrect noisedata. The analysis uses recently developed convergence resultsfor the solution of the matrix Riccati differential equation. |
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