Convergence analysis of a family of robust Kalman filters based on the contraction principle

Mattia Zorzi

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arXiv · 1705.05286

Convergence analysis of a family of robust Kalman filters based on the contraction principle

Mattia Zorzi

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Abstract

In this paper we analyze the convergence of a family of robust Kalman filters. For each filter of this family the model uncertainty is tuned according to the so called tolerance parameter. Assuming that the corresponding state-space model is reachable and observable, we show that the corresponding Riccati-like mapping is strictly contractive provided that the tolerance is sufficiently small, accordingly the filter converges.

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Mattia Zorzi. 2017-05-15. Convergence analysis of a family of robust Kalman filters based on the contraction principle. https://arxiv.org/abs/1705.05286

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