H∞-Property of the Continuous-Time Extended Kalman Filter
American Society of Mechanical Engineers
ASME 2016 Dynamic Systems and Control Conference
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.