This work elucidates another theoretical property of the ubiquitous extended Kalman filter by analyzing the energy gain of the continuous-time extended Kalman filter used as a nonlinear observer in the presence of finite-energy disturbances. The analysis provides a bound on the ratio of estimation error energy to disturbance energy, which shows that the extended Kalman filter inherently has the H∞-property along with being the locally optimal minimum variance estimator. A special case of this result is also shown to be the H2-property of the extended Kalman filter.
- Dynamic Systems and Control Division
H∞-Property of the Continuous-Time Extended Kalman Filter
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Bonniwell, JL, Schneider, SC, & Yaz, EE. "H∞-Property of the Continuous-Time Extended Kalman Filter." Proceedings of the ASME 2016 Dynamic Systems and Control Conference. Volume 1: Advances in Control Design Methods, Nonlinear and Optimal Control, Robotics, and Wind Energy Systems; Aerospace Applications; Assistive and Rehabilitation Robotics; Assistive Robotics; Battery and Oil and Gas Systems; Bioengineering Applications; Biomedical and Neural Systems Modeling, Diagnostics and Healthcare; Control and Monitoring of Vibratory Systems; Diagnostics and Detection; Energy Harvesting; Estimation and Identification; Fuel Cells/Energy Storage; Intelligent Transportation. Minneapolis, Minnesota, USA. October 12–14, 2016. V001T14A004. ASME. https://doi.org/10.1115/DSCC2016-9746
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