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

DOI10.1137/16M1099078MaRDI QIDQ5370982zbMATH OpenOpenAlexFDO

Authors Mattia Zorzi

Publication date 24 October 2017

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

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

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)

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.

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Cited in

(13)

• Reduction of discrete algebraic Riccati equations: elimination of generalized eigenvalues on the unit circle
• On convergence of the unscented Kalman-Bucy filter using contraction theory
• The geometry of the generalized algebraic Riccati equation and of the singular Hamiltonian system
• Robust integrated covariance intersection fusion Kalman estimators for networked systems with random measurement delays, multiplicative noises, and uncertain noise variances
• Some iterative methods for the largest positive definite solution to a class of nonlinear matrix equation
• Contraction analysis for fractional-order nonlinear systems
• On the convergence of degenerate risk sensitive filters
• Asymptotic properties of linear filter for deterministic processes
• Robust distributed Kalman filtering with event-triggered communication
• On the reduction of the continuous-time generalized algebraic Riccati equation: an effective procedure for solving the singular LQ problem with smooth solutions
• A contraction analysis of the convergence of risk-sensitive filters
• Robust fixed-lag smoothing under model perturbations
• CONVERGENCE ANALYSIS OF EXTENDED KALMAN FILTER IN A NOISY ENVIRONMENT THROUGH DIFFERENCE EQUATIONS

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