A Contraction Theory-Based Analysis of the Stability of the Deterministic Extended Kalman Filter
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Slotine_A contraction.pdf
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Author(s)
Bonnabel, Silvere
Slotine, Jean-Jacques E.
Date Issued
January 2015
Journal
IEEE Transactions on Automatic Control
Publisher
Institute of Electrical and Electronics Engineers (IEEE)
Citation
Bonnabel, Silvere, and Jean-Jacques Slotine. “A Contraction Theory-Based Analysis of the Stability of the Deterministic Extended Kalman Filter.” IEEE Trans. Automat. Contr. 60, no. 2 (February 2015): 565–569.
Version
Original manuscript
Abstract
The contraction properties of the extended Kalman filter, viewed as a deterministic observer for nonlinear systems, are analyzed. The approach relies on the study of an auxiliary “virtual” dynamical system. Some conditions under which exponential convergence of the state error can be guaranteed are derived. Moreover, contraction provides a simple formalism to study some robustness properties of the filter, especially with respect to measurement errors, as illustrated by a simplified inertial navigation example. This technical note sheds another light on the theoretical properties of this popular observer.
MIT Department
Massachusetts Institute of Technology. Department of Mechanical Engineering
Massachusetts Institute of Technology. Nonlinear Systems Laboratory
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Creative Commons Attribution-Noncommercial-Share Alike
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DOI of Published Version
https://doi.org/10.1109/TAC.2014.2336991
