A simple method for the control of divergence in Kalman-filter algorithms
- 1 December 1972
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 16 (6) , 1101-1106
- https://doi.org/10.1080/00207177208932342
Abstract
It is found that, under certain conditions, the estimation errors produced by the Standard Kalman-filter algorithm increase rapidly, and become unbounded, even though the predicted error covariance continues to decrease in accordance with the stability properties of the Kalman filter. A very simple modification, which freezes the filter gain when divergence is suspected, is suggested. The modified algorithm would keep these errors within bound without causing an appreciable increase in the computation burden.Keywords
This publication has 1 reference indexed in Scilit:
- Adaptive filteringAutomatica, 1969