Sensitivity analysis of discrete Kalman filters
- 1 October 1970
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 12 (4) , 657-669
- https://doi.org/10.1080/00207177008931881
Abstract
This paper investigates the sensitivity of discrete Kalman filters to erroneous models. Both parameter and structure (state dimensionality) sensitivity are considered, as well as deterministic and random parameter errors. Iterative algorithms are derived for the calculation of the actual filter error covariance matrix for the case of known (deterministic) modelling errors. For the case of random statistical and dynamical modelling errors, an optimal mean-square error estimate of the actual system performance is derived.Keywords
This publication has 2 references indexed in Scilit:
- New Results in Linear Filtering and Prediction TheoryJournal of Basic Engineering, 1961
- A New Approach to Linear Filtering and Prediction ProblemsJournal of Basic Engineering, 1960