Divergence of the stationary Kalman filter for correct and for incorrect noise variances

DOI10.1093/IMAMCI/9.1.47zbMATH Open0755.93077OpenAlexW2061903321MaRDI QIDQ4013386FDOQ4013386

Authors: Jacques L. Willems, Frank M. Callier 

Publication date: 27 September 1992

Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamci/9.1.47

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zbMATH Keywords

Kalman filtermatrix Riccati differential equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Cited In (8)

• Robust Kalman and Bayesian Set-Valued Filtering and Model Validation for Linear Stochastic Systems
• Noise identification and its influence on Kalman filter divergence
• Analysis of continuous-time Kalman filtering under incorrect noise covariances
• Online stochastic convergence analysis of the Kalman filter
• Characterization of Exponential Divergence of the Kalman Filter for Time-Varying Systems
• Title not available (Why is that?)
• Comparative analysis of estimation-process dynamics for ordinary and stationary Kalman filters
• Convergence of the Kalman filter gain for a class of nondetectable signal extraction problems

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