Convergence of discrete-time Kalman filter estimate to continuous time estimate

DOI10.1080/00207179.2015.1090017zbMATH Open1338.93364arXiv1408.1275OpenAlexW1760063196MaRDI QIDQ2807884FDOQ2807884

Authors: Atte Aalto 

Publication date: 25 May 2016

Published in: International Journal of Control (Search for Journal in Brave)

Abstract: This article is concerned with the convergence of the state estimate obtained from the discrete time Kalman filter to the continuous time estimate as the temporal discretization is refined. We derive convergence rate estimates for different systems, first finite dimensional and then infinite dimensional with bounded or unbounded observation operators. Finally, we derive the convergence rate in the case where the system dynamics is governed by an analytic semigroup. The proofs are based on applying the discrete time Kalman filter on a dense numerable subset of a certain time interval $[0,T]$.

Full work available at URL: https://arxiv.org/abs/1408.1275

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zbMATH Keywords

Kalman filtersampled datainfinite dimensional systemstemporal discretisation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10)

Cites Work

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Cited In (8)

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• Return-difference and spectral factorisation relationship for the discrete-time Kalman filter
• Kernel representation of Kalman observer and associated H-matrix based discretization
• The location of the continuous-time stationary Kalman filter poles

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