H∞-Property of the Continuous-Time Extended Kalman Filter

Authors

Jennifer L. Bonniwell, Marquette UniversityFollow
Susan C. Schneider, Marquette UniversityFollow
Edwin E. Yaz, Marquette UniversityFollow

Document Type

Article

Language

eng

Publication Date

10-12-2016

Publisher

American Society of Mechanical Engineers

Source Publication

ASME 2016 Dynamic Systems and Control Conference

Source ISSN

9780791850695

Abstract

This work elucidates another theoretical property of the ubiquitous extended Kalman filter by analyzing the energy gain of the continuous-time extended Kalman filter used as a nonlinear observer in the presence of finite-energy disturbances. The analysis provides a bound on the ratio of estimation error energy to disturbance energy, which shows that the extended Kalman filter inherently has the H_∞-property along with being the locally optimal minimum variance estimator. A special case of this result is also shown to be the H₂-property of the extended Kalman filter.

Comments

Published as part of the proceedings of the conference, ASME 2016 Dynamic Systems and Control Conference, 2016. DOI.

Recommended Citation

Bonniwell, Jennifer L.; Schneider, Susan C.; and Yaz, Edwin E., "H∞-Property of the Continuous-Time Extended Kalman Filter" (2016). Electrical and Computer Engineering Faculty Research and Publications. 278.
https://epublications.marquette.edu/electric_fac/278