DIVERGENCE OF THE STATIONARY KALMAN FILTER FOR CORRECT AND FOR INCORRECT NOISE VARIANCES

被引：15

作者：

WILLEMS, JL

CALLIER, FM

机构：

[1] STATE UNIV GHENT,FAC ENGN,B-9000 GENT,BELGIUM

[2] FAC UNIV NAMUR,DEPT MATH,B-5000 NAMUR,BELGIUM

来源：

IMA JOURNAL OF MATHEMATICAL CONTROL AND INFORMATION | 1992年 / 9卷 / 01期

关键词：

D O I：

10.1093/imamci/9.1.47

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The convergence properties of the estimation error covariance for the Kalman filter are analysed. Criteria are derived for convergence or divergence of the estimation error if the time-invariant Kalman filter is used, possibly designed for incorrect noise data. The analysis uses recently developed convergence results for the solution of the matrix Riccati differential equation.

引用

页码：47 / 54

页数：8

共 50 条

[1] Determination of noise variances for optimality of Kalman filter
Priyadarshini, Manasi
Sahoo, Ajit Kumar
2016 1ST INDIA INTERNATIONAL CONFERENCE ON INFORMATION PROCESSING (IICIP), 2016,
[2] Noise identification and its influence on Kalman filter divergence
Oussalah, M
De Schutter, J
INTELLIGENT TECHNIQUES AND SOFT COMPUTING IN NUCLEAR SCIENCE AND ENGINEERING, 2000, : 224 - 230
[3] DIVERGENCE IN KALMAN FILTER
SCHLEE, FH
STANDISH, CJ
TODA, NF
AIAA JOURNAL, 1967, 5 (06) : 1114 - &
[4] DIVERGENCE OF KALMAN FILTER
FITZGERALD, RJ
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1971, AC16 (06) : 736 - +
[5] RELATIONSHIP BETWEEN STEADY-STATE KALMAN FILTER GAIN AND NOISE VARIANCES
NAKAMURA, M
INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 1982, 13 (10) : 1153 - 1163
[6] Robust Weighted Measurement Fusion Kalman Filter with Uncertain Parameters and Noise Variances
Yang, Chunshan
Deng, Zili
PROCEEDINGS OF THE 2015 CHINESE INTELLIGENT AUTOMATION CONFERENCE: INTELLIGENT INFORMATION PROCESSING, 2015, 336 : 33 - 41
[7] Distributed fusion guaranteed cost robust Kalman filter with uncertain noise variances
Yang Chunshan
Yang Zhibo
Deng Zili
PROCEEDINGS OF THE 28TH CHINESE CONTROL AND DECISION CONFERENCE (2016 CCDC), 2016, : 3882 - 3888
[8] ON EFFECT OF INCORRECT GAIN IN KALMAN FILTER
FRIEDLAN.B
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1967, AC12 (05) : 610 - &
[9] KALMAN-FILTER DIVERGENCE DUE TO PROCESS-NOISE DECOUPLING
THE, G
PROCEEDINGS OF THE INSTITUTION OF ELECTRICAL ENGINEERS-LONDON, 1974, 121 (06): : 525 - 528
[10] AN ADAPTIVE OPTIMAL KALMAN FILTER FOR STOCHASTIC VIBRATION CONTROL SYSTEM WITH UNKNOWN NOISE VARIANCES
Li Shu (Institute of Aircraft Design
ActaMechanicaSolidaSinica, 2000, 13 (01) : 89 - 94

← 1 2 3 4 5 →