DocumentCode
2438585
Title
Convergence of Kalman filter with quantized innovations
Author
Xu, Jian ; Li, Jianxun ; Wu, Jiayun
Author_Institution
Dept. of Autom., Shanghai Jiaotong Univ., Shanghai, China
fYear
2010
fDate
7-10 Dec. 2010
Firstpage
1703
Lastpage
1708
Abstract
This work provides a convergence analysis for the estimate error covariance of Kalman filtering based on quantized measurement innovations (QIKF). By taking the quantization errors as random perturbations in observation system, an equivalent state-observation system is given. Accordingly, the quantitative Kalman filter for the original system is equivalent to a Kalman-like filtering for the equivalent state-observation system. In this performance analysis framework, the true covariance matrix of estimating error is strictly analyzed without Gaussian assumption on predicted distribution. A necessary and sufficient condition for the stability of the QIKF is obtained. Then, the relationship between the standard Kalman filtering and the QIKF for the original system is discussed. Finally, the validity of these results are demonstrated by numerical simulations.
Keywords
Kalman filters; convergence; covariance matrices; quantisation (signal); random processes; Kalman filtering; QIKF stability; convergence analysis; covariance matrix; estimate error covariance; quantization error; quantized measurement innovation; random perturbation; state-observation system; Covariance matrix; Equations; Estimation error; Kalman filters; Quantization; Technological innovation; Convergence Analysis; Kaiman Filtering; Quantized Innovation;
fLanguage
English
Publisher
ieee
Conference_Titel
Control Automation Robotics & Vision (ICARCV), 2010 11th International Conference on
Conference_Location
Singapore
Print_ISBN
978-1-4244-7814-9
Type
conf
DOI
10.1109/ICARCV.2010.5707875
Filename
5707875
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