Title :
Stochastic stability of the discrete-time extended Kalman filter
Author :
Reif, Konrad ; Günther, Stefan ; Yaz, Engin ; Unbehauen, Rolf
Author_Institution :
BMW AG, Munchen, Germany
fDate :
4/1/1999 12:00:00 AM
Abstract :
The authors analyze the error behavior for the discrete-time extended Kalman filter for general nonlinear systems in a stochastic framework. In particular, it is shown that the estimation error remains bounded if the system satisfies the nonlinear observability rank condition and the initial estimation error as well as the disturbing noise terms are small enough. This result is verified by numerical simulations for an example system
Keywords :
Kalman filters; discrete time systems; filtering theory; nonlinear filters; nonlinear systems; observability; state estimation; stochastic systems; discrete-time extended Kalman filter; disturbing noise; error behavior; estimation error; general nonlinear systems; nonlinear observability rank condition; stochastic stability; Error analysis; Estimation error; Nonlinear systems; Numerical simulation; Observability; Stability; State estimation; Stochastic processes; Stochastic resonance; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
