Convergence analysis of the extended Kalman filter as an observer for nonlinear discrete-time systems

Author

Boutayeb, M. ; Rafaralahy, H. ; Darouach, M.

Author_Institution

Nancy I Univ., France

Volume

2

fYear

1995

fDate

13-15 Dec 1995

Firstpage

1555

Abstract

In the current paper, a modified version of the extended Kalman filter (EKF), when used as an observer for nonlinear discrete-time systems, is presented. The approach proposed consists in introducing time varying matrices to enhance convergence and stability of the obtained estimator. Based on a new formulation of the first order linearization technique, sufficient conditions to ensure local asymptotic convergence are established. Efficiency of this approach, compared to the classical version of the EKF, is shown through a nonlinear identification problem

Keywords

Kalman filters; approximation theory; convergence of numerical methods; covariance matrices; discrete time systems; linearisation techniques; nonlinear systems; observers; stability; extended Kalman filter; first order approximation; linearization; local asymptotic convergence; nonlinear discrete-time systems; nonlinear identification; observer; stability; sufficient conditions; time varying matrices; Convergence; Electronic mail; Linearization techniques; Mathematical model; Nonlinear control systems; Nonlinear equations; Riccati equations; Stability analysis; State estimation; Sufficient conditions;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1995., Proceedings of the 34th IEEE Conference on

Conference_Location

New Orleans, LA

ISSN

0191-2216

Print_ISBN

0-7803-2685-7

Type

conf

DOI

10.1109/CDC.1995.480359

Filename

480359