Convergence of discrete-time Kalman filter estimate to continuous time estimate

Tutkimustuotos: Lehtiartikkelivertaisarvioitu

Tutkijat

  • Atte Aalto

Organisaatiot

  • Inria Université Paris-Saclay

Kuvaus

This article is concerned with the convergence of the state estimate obtained from the discrete-time Kalman filter to the continuous time estimate as the temporal discretisation is refined. The convergence follows from Martingale convergence theorem as demonstrated below; however, surprisingly, no results exist on the rate of convergence. We derive convergence rate estimates for the discrete-time Kalman filter estimate for finite and infinite dimensional systems. The proofs are based on applying the discrete-time Kalman filter on a dense numerable subset of a certain time interval [0, T].

Yksityiskohdat

AlkuperäiskieliEnglanti
Sivut668-679
Sivumäärä12
JulkaisuInternational Journal of Control
Vuosikerta89
Numero4
TilaJulkaistu - 2 huhtikuuta 2016
OKM-julkaisutyyppiA1 Julkaistu artikkeli, soviteltu

ID: 1708008