DocumentCode
1519581
Title
A note on uniform observability
Author
Delyon, Bernard
Author_Institution
IRMAR, Rennes I Univ., France
Volume
46
Issue
8
fYear
2001
fDate
8/1/2001 12:00:00 AM
Firstpage
1326
Lastpage
1327
Abstract
We prove that the classical inequality Pt⩽𝒪 t-1Ct relating the variance of the Kalman filter estimate, the observability matrix, and the controllability matrix is not true. This inequality is the cornerstone of the asymptotic stability theory of the Kalman filter for time-varying systems. We provide another inequality of the same type
Keywords
Kalman filters; asymptotic stability; controllability; filtering theory; observability; state estimation; time-varying systems; Kalman filter estimate; asymptotic stability theory; controllability matrix; observability matrix; time-varying systems; uniform observability; variance; Asymptotic stability; Controllability; Estimation error; Gaussian distribution; Kalman filters; Linear matrix inequalities; Observability; Symmetric matrices; Time varying systems;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.940944
Filename
940944
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