Analysis of continuous-time Kalman filtering under incorrect noise covariances (Q1112779)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of continuous-time Kalman filtering under incorrect noise covariances |
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Analysis of continuous-time Kalman filtering under incorrect noise covariances (English)
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1988
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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.
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time-dependent
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continuous-time
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