Convergence analysis of a family of robust Kalman filters based on the contraction principle

DOI10.1137/16M1099078zbMATH Open1374.60074arXiv1705.05286OpenAlexW2614212589MaRDI QIDQ5370982FDOQ5370982

Authors: Mattia Zorzi 

Publication date: 24 October 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: In this paper we analyze the convergence of a family of robust Kalman filters. For each filter of this family the model uncertainty is tuned according to the so called tolerance parameter. Assuming that the corresponding state-space model is reachable and observable, we show that the corresponding Riccati-like mapping is strictly contractive provided that the tolerance is sufficiently small, accordingly the filter converges.

Full work available at URL: https://arxiv.org/abs/1705.05286

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zbMATH Keywords

Kalman filtercontraction mappingRiccati equationThompson's part metricblock updaterisk-sensitive filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Sensitivity (robustness) (93B35)

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Cited In (13)

• Robust distributed Kalman filtering with event-triggered communication
• CONVERGENCE ANALYSIS OF EXTENDED KALMAN FILTER IN A NOISY ENVIRONMENT THROUGH DIFFERENCE EQUATIONS
• Contraction analysis for fractional-order nonlinear systems
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• On convergence of the unscented Kalman-Bucy filter using contraction theory
• A contraction analysis of the convergence of risk-sensitive filters
• Robust integrated covariance intersection fusion Kalman estimators for networked systems with random measurement delays, multiplicative noises, and uncertain noise variances
• On the reduction of the continuous-time generalized algebraic Riccati equation: an effective procedure for solving the singular LQ problem with smooth solutions
• Asymptotic properties of linear filter for deterministic processes
• On the convergence of degenerate risk sensitive filters

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