Analysis of continuous-time Kalman filtering under incorrect noise covariances (Q1112779): Difference between revisions
From MaRDI portal
Latest revision as of 10:15, 19 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of continuous-time Kalman filtering under incorrect noise covariances |
scientific article |
Statements
Analysis of continuous-time Kalman filtering under incorrect noise covariances (English)
0 references
1988
0 references
The paper studies the behavior of the continuous-time Kalman filter under incorrect noise covariances. The filter performance is characterized by the actual state error covariance, and conditions are provided that guarantee its convergence and possible asymptotic optimality. Finally, the divergence of the filter under incorrect state or measurement noise covariance is also studied.
0 references
time-dependent
0 references
continuous-time
0 references
0 references
