Title :
Required signal to noise ratio for rapid estimation scheme having marginally stable Kalman filter
Author :
Sonalkar, R.V. ; Shen, C.N.
Author_Institution :
Rensselaer Polytechnic Institute, Troy, New York
Abstract :
The Rapid Estimation Scheme (RES) for estimation of states subject to unknown inputs has been described in Refs. 1 and 2. Kalman filter (KF) was observed to be divergent in some computer simulations when the states changed suddenly due to unknown inputs. This paper derives sufficient conditions for the convergence of KF after the occurrence of unknown inputs and also determines the conditions on the signal to noise ratio for the effectiveness of either KF or RES.
Keywords :
Convergence of numerical methods; Covariance matrix; Differential equations; Filters; Recursive estimation; Signal to noise ratio; State estimation; Sufficient conditions; Systems engineering and theory;
Conference_Titel :
Decision and Control including the 14th Symposium on Adaptive Processes, 1975 IEEE Conference on
Conference_Location :
Houston, TX, USA
DOI :
10.1109/CDC.1975.270704
