On the sensitivity of a discrete-time Kalman filter to plant-dynamics modelling errors

DOI10.1080/00207728608926858MaRDI QIDQ3714971zbMATH OpenOpenAlexFDO

Authors Nick T. Koussoulas, Cornelius T. Leondes

Publication date 1986

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728608926858

zbMATH Keywords

sensitivitydiscrete-time Kalman filtermatrix Taylor expansion

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Sensitivity (robustness) (93B35) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55)

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Cites work

• Matrix Calculus Operations and Taylor Expansions

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(5)

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• Some new errors for assessing Kalman filter performance
• Performance robustness analysis of Kalman filter for linear discrete-time systems under plant and noise uncertainty

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