The Convergence of the Extended Kalman Filter

2002/12/18 by Arthur J. Krener · 1 citation
Mathematics · #math.OC

paper · pdf

published as in Directions in Mathematical Systems Theory and Optimization, A. Rantzer and C. I. Byrnes, eds, Springer Verlag, Berlin, pp.173-182, 2002

arxiv created 2002/12/18 · arxiv updated 2009/11/30

Abstract

We demonstrate that the extended Kalman filter converges locally for a broad class of nonlinear systems. If the initial estimation error of the filter is not too large then the error goes to zero exponentially as time goes to infinity. To demonstrate this, we require that the system be C² and uniformly observable with bounded second partial derivatives.

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