Bounding the Estimation Error Covariance for Nonlinear Systems

2024/10/10 by Cheah, Sze Kwan, Hu, Yingjie
#FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.2410.08298

Abstract

This paper presents preliminary work on computing upper bounds on the estimation error covariance in the framework of the extended Kalman filter. The approach taken is using quadratic constraints to bound the dynamic nonlinearities and use of semidefinite programs to find the upper bound of each entry of the estimation error covariance matrix.

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