H∞-Property of the Discrete-Time Extended Kalman Filter with Uncertain Measurements
Format of Original
Institute of Electrical and Electronics Engineers (IEEE)
2016 American Control Conference (ACC)
This work analyzes the finite-time H∞-property of the discrete-time extended Kalman filter in the presence of uncertain measurements and stochastic ℓ2 type disturbances. The stochastic analysis provides a bound on the ratio of estimation error energy to disturbance energy. A special case of this result is also shown to be the finite-time H2-property of the extended Kalman filter.