The Kantorovich inequality for error analysis of the Kalman filter with unknown noise distributions

DOI10.1016/0005-1098(95)00069-9zbMath0836.93058OpenAlexW2172654550WikidataQ55969204 ScholiaQ55969204MaRDI QIDQ1902593

James C. Spall

Publication date: 22 November 1995

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(95)00069-9

zbMATH Keywords

estimationKalman filterKantorovich inequalitynon Gaussian noise

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55)

Related Items (6)

Error-constrained finite-horizon tracking control with incomplete measurements and bounded noises ⋮ Feedback quadratic filtering ⋮ Robust Kalman and Bayesian Set-Valued Filtering and Model Validation for Linear Stochastic Systems ⋮ Online stochastic convergence analysis of the Kalman filter ⋮ New inequalities of the Kantorovich type for bounded linear operators in Hilbert spaces ⋮ Convexity conditions of Kantorovich function and related semi-infinite linear matrix inequalities

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