|
WEAK CONVERGENCE ANALYSIS OF CROSS-COUPLED KALMAN FILTER STATE-ESTIMATION ALGORITHM FOR BILINEAR SYSTEMS
Vladislav B. Tadić* Vikram Krishnamurthy**
* Department of Electrical and Electronic Engineering
The University of Melbourne, Parkville, Victoria 3010, Australia
e-mail: v.tadic@ee.mu.oz.au
** Department of Electrical and Electronic Engineering
The University of Melbourne, Parkville, Victoria 3010, Australia
e-mail: vikram@ee.mu.oz.au
In this paper, we present an asymptotic analysis of a recursive cross-coupled Kalman filter algorithm for estimating the state of a partially observed bilinear stochastic system. The cross-coupled Kalman filter algorithm consists of two Kalman filters -- each Kalman filter estimating the state of one of the two state components of the bilinear system. Our asymptotic analysis provides weak convergence results on the tracking capabilities of the resulting cross-coupled Kalman filter algorithm.
Keywords: State estimation, bilinear systems, Kalman filters, stochastic approximation, weak convergence analysis
Session slot T-Tu-A07: Linear and Nonlinear Filtering/Area code 3d : Stochastic Systems
 | 