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The Convergence of the Extended Kalman Filter

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Directions in Mathematical Systems Theory and Optimization

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 286))

Abstract

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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12.4 References

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Author information

Authors and Affiliations

  1. Department of Mathematics, University of California, Davis, CA, 95616-8633, USA

    Arthur J. Krener

Authors
  1. Arthur J. Krener
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Editor information

Editors and Affiliations

  1. Department of Automatic Control, Lund Institute of Technology, Box 118, SE-221 00, Lund, Sweden

    Anders Rantzer

  2. School of Engineering and Applied Science, Washington University, One Brookings Drive, St. Louis, MO, 63130, USA

    Christopher I. Byrnes

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© 2003 Springer-Verlag Berlin Heidelberg

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Krener, A.J. (2003). The Convergence of the Extended Kalman Filter. In: Rantzer, A., Byrnes, C.I. (eds) Directions in Mathematical Systems Theory and Optimization. Lecture Notes in Control and Information Sciences, vol 286. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-36106-5_12

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  • DOI: https://doi.org/10.1007/3-540-36106-5_12

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-00065-5

  • Online ISBN: 978-3-540-36106-0

  • eBook Packages: Springer Book Archive

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