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Conditions for stability of the extended Kalman filter and their application to the frequency tracking problem

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Date

1995

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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.

Description

Keywords

Discrete-time nonlinear systems, Extended Kalman filter, Frequency tracking, Stability

Citation

URI

https://dspace-test.anu.edu.au/handle/1885/733729918

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DevOps Pure Testing

Source

Mathematics of Control, Signals, and Systems

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Article

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DOI

10.1007/BF01212364

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