BIMSA > Seminar on Control Theory and Nonlinear Filtering The Local Convergence of the Extended Kalman Filter
The Local Convergence of the Extended Kalman Filter
Organizer
Shing Toung Yau
Speaker
Minli Feng
Time
Wednesday, May 15, 2024 2:30 PM - 3:00 PM
Venue
理科楼A-304
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 C^2 and uniformly observable with bounded second partial derivatives.