Stability analysis of the Kalman predictor
Stability analysis of the Kalman predictor
复制标题
卡尔曼预测器的稳定性分析
DOI：
10.1080/00207179.2019.1638971
复制
发表时间：
2019
影响因子：
2.1
通讯作者：
Zhang Liangquan
中科院分区：
文献类型：
--
作者：
Zhang Qinghua;Zhang Liangquan
卡尔曼滤波器的稳定性，虽然在最近的文献中很少提到的最优性，是一个重要的属性为真实的时间应用。本文的目的是完成一般时变系统卡尔曼滤波器的经典稳定性分析。本文给出了嵌入卡尔曼滤波器中的一步预测器的稳定性证明，而经典的结果主要集中在滤波器的稳定性上。预测器的稳定性是特别重要的线性参数变化（LPV）系统的辨识方法的预测误差最小化。
The stability of the Kalman filter, though less often mentioned than the optimality in the recent literature, is a crucial property for real time applications. The purpose of this paper is to complete the classical stability analysis of the Kalman filter for general time varying systems. A proof of the stability of the one step ahead predictor, which is embedded in the Kalman filter, is presented in this paper, whereas the classical results were focused on the stability of the filter. The predictor stability is particularly important for linear parameter varying (LPV) system identification by means of prediction error minimisation.