The Convergence of the Extended Kalman Filter

Details The Convergence of the Extended Kalman Filter The Convergence of the Extended Kalman Filter

2002-12-18

arxiv.org/abs/math/0212255v1

in Directions in Mathematical Systems Theory and Optimization, A. Rantzer and C. I. Byrnes, eds, Springer Verlag, Berlin, pp.1

Mathematics

Optimization and Control

Scientific paper

We demonstrate that the extended Kalman filter converges locally for a broad
class of nonlinear systems. If the initial estimation error of the filter is
not too large then the error goes to zero exponentially as time goes to
infinity. To demonstrate this, we require that the system be $C^2$ and
uniformly observable with bounded second partial derivatives.

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