EE226a - Summary of Lecture 13 and 14 Kalman Filter: Convergence
نویسنده
چکیده
I. SUMMARY Here are the key ideas and results of this important topic. • Section II reviews Kalman Filter. • A system is observable if its state can be determined from its outputs (after some delay). • A system is reachable if there are inputs to drive it to any state. • We explore the evolution of the covariance in a linear system in Section IV. • The error covariance of a Kalman Filter is bounded if the system is observable. • The covariance increases if it starts from zero. • If a system is reachable and observable, then everything converges and the stationary filter is asymptotically optimal.
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