Stochastic stability of the unscented Kalman filter with intermittent observations. (English) Zbl 1246.93121
Summary: In this paper, the stochastic stability of the discrete-time unscented Kalman filter for general nonlinear stochastic systems with intermittent observations is proposed. It is shown that the estimation error remains bounded if the system satisfies some assumptions. And the statistical convergence property of the estimation error covariance is studied, showing the existence of a critical value for the arrival rate of the observations. An upper bound on this expected state error covariance is given. A numerical example illustrates the effectiveness of the techniques developed.
MSC:
| 93E15 | Stochastic stability in control theory |
| 93E11 | Filtering in stochastic control theory |
| 93C10 | Nonlinear systems in control theory |
References:
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