Stability of the Kalman filter for continuous time output error systems

Boyi Ni (1) , Qinghua Zhang (2)

1 SAP Labs China
2 I4S - Statistical Inference for Structural Health Monitoring

The stability of the Kalman filter is usually ensured by the uniform complete controllability regarding the process noise and the uniform complete observability of linear time varying systems. This paper studies the case of continuous time output error systems, in which the process noise is totally absent. The classical stability analysis assuming the controllability regarding the process noise is thus not applicable. It is shown in this paper that the uniform complete observability alone is sufficient to ensure the asymptotic stability of the Kalman filter applied to time varying output error systems, regardless of the stability of the considered systems themselves. The exponential or polynomial convergence of the Kalman filter is then further analyzed for particular cases of stable or unstable output error systems.

Mots clés: Output error system; Kalman filter; Stability

Domaines: Automatique

Boyi Ni, Qinghua Zhang. Stability of the Kalman filter for continuous time output error systems. Systems and Control Letters, 2016, 94, pp.172 - 180. ⟨10.1016/j.sysconle.2016.06.006⟩. ⟨hal-01376819⟩