L2-Stability of Discrete-Time Kalman Filter with Incorrect Covariances

摘要：

In this paper, we consider the L2-stability of Kalman filter for discrete-time linear system with random coefficient matrices, where incorrect covariances of process noise, measurement noise and initial value are emphasized. We prove, under some suitable conditions, such as boundedness of coefficient matrices, conditional observability and boundedness of initial error and noises, the L2-stability of state estimation error by Kalman filter is achieved. The equivalence between Kalman filter and state-space least squares algorithm is also contained. Based on this equivalence, the L2-stability of state estimation error by state-space least squares is obtained, too. A numerical example is given to demonstrate the efficiency of the estimation algorithm.

关键词： Key Laboratory of Systems and Control Chinese Academy of Sciences Beijing 100190 P R China

作者: Zhou Zhenwei Fang Haitao

作者单位: Key Laboratory of Systems and Control, Chinese Academy of Sciences, Beijing 100190, P. R. China

会议类型: 国际会议

会议名称: The 31st Chinese Control Conference(第三十一届中国控制会议)

会议地点: 合肥

会议语种:英文

页码: 1574-1579

在线出版日期: 2012-07-01（万方平台首次上网日期，不代表论文的发表时间）