Performance Bounds for Continuous-time Filters in the Presence of Modeling Errors
- 1 November 1978
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Aerospace and Electronic Systems
- Vol. AES-14 (6) , 912-919
- https://doi.org/10.1109/taes.1978.308556
Abstract
We are concerned with obtaining bounds on the performance of Kalman-type, linear, continuous-time filters susceptible to modeling errors. Limiting the discussion to stationary performance, we obtain bounds on the performance index, the mean square error of estimates for suboptimal and optimal (Kalman) filters. The bounds are expressed in terms of the model matrices and the range of errors of the matrices. The results are useful to a designer in comparing the performance of a suboptimal filter with that of the optimal filter when he has information on the range of modeling errors. The tightness of the bounds is shown by an application of the results in the estimation of the motion of an aircraft carrier at sea.Keywords
This publication has 6 references indexed in Scilit:
- Large and small scale sensitivity analysis of optimum estimation algorithmsIEEE Transactions on Automatic Control, 1968
- A Note on the Variance of a MatrixEconometrica, 1968
- Error bounds of continuous Kalman filters and the application to orbit determination problemsIEEE Transactions on Automatic Control, 1967
- The effect of erroneous models on the Kalman filter responseIEEE Transactions on Automatic Control, 1966
- On the a priori information in sequential estimation problemsIEEE Transactions on Automatic Control, 1966
- New Results in Linear Filtering and Prediction TheoryJournal of Basic Engineering, 1961