Divergence of the stationary Kalman filter for correct and for incorrect noise variances |
| |
| Authors: | WILLEMS, JACQUES L. CALLIER, FRANK M. |
| |
| Affiliation: | Engineering Faculty, University of Gent Gent, Belgium
Department of Mathematics, Facultiés Universitaires de Namur Namur, Belgium |
| |
| 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. |
| |
| Keywords: | |
| 本文献已被 Oxford 等数据库收录！ |
|
