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

DOI10.1080/00207179.2015.1090017MaRDI QIDQ2807884zbMATH OpenOpenAlexFDO

Authors Atte Aalto

Publication date 25 May 2016

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

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

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)

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 $[0,T]$.

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Cites work

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Cited in

(8)

• CONVERGENCE ANALYSIS OF EXTENDED KALMAN FILTER IN A NOISY ENVIRONMENT THROUGH DIFFERENCE EQUATIONS
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• Convergence of discrete-time Kalman filter estimate to continuous-time estimate for systems with unbounded observation
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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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