非线性随机离散系统推广卡尔曼滤波方法收敛性分析

Convergence Analysis of the Extended Kalman Filter for Nonlinear Random Discrete Time Systems

讨论了非线性随机离散系统的推广卡尔曼滤波算法的收敛性 .基于BoutayebM的一阶线性化技巧 。

In this paper, convergence analysis of the extended Kalman filter (EKF), when used as an observer for nonlinear random discrete time systems, is presented. Based on M. Boutayeb's formulation of the first order linearizaton technique, sufficient conditions to ensure local asymptotic convergence are established.