Bounding the Estimation Error Covariance for Nonlinear Systems

Sze Kwan Cheah; Yingjie Hu

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arXiv · 2410.08298

Bounding the Estimation Error Covariance for Nonlinear Systems

Sze Kwan Cheah·Yingjie Hu

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Abstract

This paper presents preliminary work on computing upper bounds on the estimation error covariance in the framework of the extended Kalman filter. The approach taken is using quadratic constraints to bound the dynamic nonlinearities and use of semidefinite programs to find the upper bound of each entry of the estimation error covariance matrix.

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Sze Kwan Cheah, Yingjie Hu. 2024-10-10. Bounding the Estimation Error Covariance for Nonlinear Systems. https://arxiv.org/abs/2410.08298

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