Stability of the Extended Kalman Filter When the States are Constrained

KÖKSAL BABACAN E., ÖZBEK L., EFE M.

IEEE TRANSACTIONS ON AUTOMATIC CONTROL, cilt.53, sa.11, ss.2707-2711, 2008 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 53 Sayı: 11
  • Basım Tarihi: 2008
  • Doi Numarası: 10.1109/tac.2008.2008333
  • Dergi Adı: IEEE TRANSACTIONS ON AUTOMATIC CONTROL
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.2707-2711
  • Anahtar Kelimeler: Asymptotic stability, Kalman filtering, nonlinear systems, state equality constraints, SYSTEMS, OBSERVER
  • Ankara Üniversitesi Adresli: Evet

Özet

In this note, stability of the projection-based constrained discrete time extended Kalman filter (EKF) when applied to deterministic nonlinear systems has been studied. It is proved that, like the unconstrained case, under certain assumptions, the EKF with state equality constraints is an exponential observer, i.e., it keeps the dynamics of its estimation error exponentially stable. Also, it has been shown that a simple modification to the general definition of the EKF with exponential weighting increases the filter's degree of stability and convergence speed with or without state constraints.