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

DOI10.1080/00207728608926858zbMath0587.93023MaRDI QIDQ3714971

Nick T. Koussoulas, Cornelius T. Leondes

Publication date: 1986

Published in: International Journal of Systems Science (Search for Journal in Brave)

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

zbMATH Keywords

sensitivity; discrete-time Kalman filter; matrix Taylor expansion

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

93E11: Filtering in stochastic control theory

93B35: Sensitivity (robustness)

93C55: Discrete-time control/observation systems

93C05: Linear systems in control theory

41A58: Series expansions (e.g., Taylor, Lidstone series, but not Fourier series)

Related Items

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

Cites Work

• Matrix Calculus Operations and Taylor Expansions