CONVERGENCE ANALYSIS OF EXTENDED KALMAN FILTER IN A NOISY ENVIRONMENT THROUGH DIFFERENCE EQUATIONS

In this paper, the convergence aspects of the Extended Kalman Filter, when used as a deterministic observer for a nonlinear discrete-time sys- tems, are addressed and analyzed. The conditions needed to ensure the bound- edness of the error covariances which are related to the observability properties of the nonlinear systems are identified through difference equations. Further- more, boundedness and stability conditions are provided in a noisy environment systems.

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