Conditions for stability of the extended Kalman filter and their application to the frequency tracking problem |
| |
Authors: | Barbara F. La Scala Robert R. Bitmead Matthew R. James |
| |
Affiliation: | (1) Department of Systems Engineering, Research School of Information Sciences and Engineering, Australian National University, 0200 Canberra, ACT, Australia |
| |
Abstract: | The error dynamics of the extended Kalman filter (EKF), employed as an observer for a general nonlinear, stochastic discrete time system, are analyzed. Sufficient conditions for the boundedness of the errors of the EKF are determined. An expression for the bound on the errors is given in terms of the size of the nonlinearities of the system and the error covariance matrices used in the design of the EKF. The results are applied to the design of a stable EKF frequency tracker for a signal with time-varying frequency.This research was supported by the Co-operative Research Centre for Robust and Adaptive Systems ((CR)2 ASys). The authors wish to acknowledge the funding of the activities of (CR)2 ASys by the Australian Commonwealth Government under the Co-operative Research Centre Program. |
| |
Keywords: | Extended Kalman filter Stability Discrete-time nonlinear systems Frequency tracking |
本文献已被 SpringerLink 等数据库收录! |