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Stochastic stability of the discrete-time extended Kalman filter. (English) Zbl 0967.93090
The error behavior for the discrete-time extended Kalman filter has been analyzed. It is shown that the estimation errors remains bounded if the system satisfies the nonlinear observability rank condition and the initial estimation error as well as the disturbing noise terms are small enough. Numerical simultations for an example are presented.

MSC:
93E11 Filtering in stochastic control theory
93E15 Stochastic stability in control theory
93C55 Discrete-time control/observation systems
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