Stochastic stability of the discrete-time extended Kalman filter

1 April 1999

journal article
Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control

Vol. 44 (4) , 714-728
https://doi.org/10.1109/9.754809

Abstract

The authors analyze the error behavior for the discrete-time extended Kalman filter for general nonlinear systems in a stochastic framework. In particular, it is shown that the estimation error remains bounded if the system satisfies the nonlinear observability rank condition and the initial estimation error as well as the disturbing noise terms are small enough. This result is verified by numerical simulations for an example system.

Keywords

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