Analysis of continuous-time Kalman filtering under incorrect noise covariances
type: Item
instance of: scholarly article
title: Analysis of continuous-time Kalman filtering under incorrect noise covariances
zbMATH Open document ID: 0659.93066
DOI: 10.1016/0005-1098(88)90113-6
author: Suwanchai Sangsuk-Iam
author: Thomas E. Bullock
published in: Automatica
publication date: 1988-01-01T00:00:00Z
review text: The paper studies the behavior of the continuous-time Kalman filter under incorrect noise covariances. The filter performance is characterized by the actual state error covariance, and conditions are provided that guarantee its convergence and possible asymptotic optimality. Finally, the divergence of the filter under incorrect state or measurement noise covariance is also studied.
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 93E03
zbMATH DE Number: 4079299
zbMATH Keywords: time-dependent
zbMATH Keywords: continuous-time
reviewed by: Giovanni Di Masi
MaRDI profile type: Publication
full work available at URL: 0005-1098(88)90113-6
OpenAlex ID: W2028574341
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description: scientific article; zbMATH DE number 4079299