Stochastic Stability of the Continuous-Time Extended Kalman Filter

Authors

K. Reif, BMW AG, Munich, Germany
S. Gunther, TEMIC HmbH, Nuremberg, Germany
Edwin E. Yaz, Marquette UniversityFollow
R. Unbehauen, University of Erlangen-Nuremberg

Document Type

Article

Publication Date

1-2000

Publisher

Institution of Engineering and Technology

Source Publication

IET Control Theory and Applications

Source ISSN

1751-8644

Original Item ID

DOI: 10.1049/ip-cta:20000125

Abstract

he error behaviour of the extended Kalman filter is analysed. It is proved that the estimation error remains bounded if the system satisfies a detectability condition and both the initial estimation error and the disturbing noise terms are small enough. Moreover, some selected cases with both bounded and unbounded estimation error are demonstrated by numerical simulations.

Comments

Published version. IET Control Theory and Applications, Vol. 147, No. 1 (January 2000): 45-52. DOI. © 2000 IEEE. Used with permission.

An ADA Accessible Version will be provided upon request.

Recommended Citation

Reif, K.; Gunther, S.; Yaz, Edwin E.; and Unbehauen, R., "Stochastic Stability of the Continuous-Time Extended Kalman Filter" (2000). Electrical and Computer Engineering Faculty Research and Publications. 753.
https://epublications.marquette.edu/electric_fac/753