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
收藏
页码：47 / 54
页数：8
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