STABILITY OF KALMAN FILTER FOR TIME-VARYING SYSTEMS WITH CORRELATED NOISE

Authors
LI RS CHU DS
Citation
Rs. Li et Ds. Chu, STABILITY OF KALMAN FILTER FOR TIME-VARYING SYSTEMS WITH CORRELATED NOISE, International journal of adaptive control and signal processing, 11(6), 1997, pp. 475-487
Citations number
14
Categorie Soggetti
Controlo Theory & Cybernetics","Robotics & Automatic Control","Engineering, Eletrical & Electronic
Journal title
International journal of adaptive control and signal processing → ACNP
ISSN journal
08906327
Volume
11
Issue
6
Year of publication
1997
Pages
475 - 487
Database
ISI
SICI code
0890-6327(1997)11:6<475:SOKFFT>2.0.ZU;2-3
Abstract
The stability of a Kalman filter based on an adaptive estimator in the time average sense for a time-varying stochastic system with correlat ed noise is obtained under a persistent excitation condition. The stab ilities of the closed-loop system and estimating error are established by designing an adaptive control law and restricting the growth rates of input and output signals, The stabilities of the extended least sq uares algorithm with forgetting factor and with covariance modificatio n in the time average sense and sample average sense respectively are obtained. (C) 1997 by John Wiley & Sons, Ltd.