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

DOI10.1093/IMAMCI/9.1.47MaRDI QIDQ4013386zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Kalman filtermatrix Riccati differential equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

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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
• Comparative analysis of estimation-process dynamics for ordinary and stationary Kalman filters
• scientific article; zbMATH DE number 3948133 (Why is no real title available?)
• Convergence of the Kalman filter gain for a class of nondetectable signal extraction problems

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