Exponential Convergence Rate and Oscillatory Modes of the Asymptotic Kalman Filter Covariance

Exponential Convergence Rate and Oscillatory Modes of the Asymptotic Kalman Filter Covariance

The Kalman filter is an iterative state estimation algorithm employed extensively, including in electricity generation, aerospace, robotics, etc. Inputting noisy measurements on a dynamical system, it outputs a state estimate and associated covariance. This work focuses on the time evolution of the...

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Bibliographic Details
Main Author: Daniel C. Herbst
Format: Article
Language:English
Published: IEEE 2024-01-01
Series:IEEE Access
Subjects:
Asymptotic stability
control system analysis
convergence
eigenvalues and eigenfunctions
filtering theory
Kalman filters
Online Access:https://ieeexplore.ieee.org/document/10770214/
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