Convergence Analysis of a Family of Robust Kalman Filters Based on the Contraction Principle
Author:
- Mattia ZorziMZMattia Zorzi
- 1 January 2017
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Control and Optimization
- Vol. 55 (5) , 3116-3131
Abstract
In this paper, we analyze the convergence of a family of robust Kalman filters. For each filter of this family, the model uncertainty is tuned according to the so-called tolerance parameter. Assuming that the corresponding state-space model is reachable and observable, we show that the $N$-fold composition of the corresponding Riccati-like mapping is strictly contractive provided that the tolerance is sufficiently small and, accordingly, the filter converges.Keywords
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Funding Information
- Ministero dell’Istruzione, dell’Università e della Ricerca (RBFR12M3AC)
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