1. Exponential Convergence Rate and Oscillatory Modes of the Asymptotic Kalman Filter Covariance
- Author
-
Daniel C. Herbst
- Subjects
Asymptotic stability ,control system analysis ,convergence ,eigenvalues and eigenfunctions ,filtering theory ,Kalman filters ,Electrical engineering. Electronics. Nuclear engineering ,TK1-9971 - Abstract
The Kalman filter is an iterative state estimation algorithm employed extensively, including in electricity generation, aerospace, robotics, etc. Inputting noisy measurements on a dynamical system, it outputs a state estimate and associated covariance. This work focuses on the time evolution of the covariance matrix given regular, uniform measurements. Prior work has derived important results for the covariance at $t\rightarrow \infty $ , but has inadequately described the approach to that fixed point. That behavior is determined by the Jacobian of the Kalman iteration, evaluated at the fixed point. I show that the Jacobian factors into the Kronecker product of a “square root” matrix times itself, resulting in special convergence properties for the Kalman filter. When the leading eigenvalues of the square-root are a complex conjugate pair, the Jacobian matrix has 3 leading eigenvalues of equal magnitude, producing a triplet of modes all decaying at the same exponential rate. One has simple exponential decay and the other two oscillate sinusoidally with exponentially decaying amplitude. I demonstrate the process using two example kinematic systems, with Gaussian white noise in acceleration or jerk, respectively. The examples parameterize the trade-off between the sensor’s measurement rate versus its spatial precision. Interestingly, the first example toggles from triplet-dominated to singlet-dominated by increasing the process noise. In sum, this work provides needed analytical insight into the behavior of Kalman filters and algebraic Riccati equations in general.
- Published
- 2024
- Full Text
- View/download PDF