A convergence result for the unscented Kalman-Bucy filter using contraction theory: 2013 European Control Conference, ECC 2013

J. P. Maree, L. Imsland, J. Jouffroy

Research output: Chapter in Book/Report/Conference proceedingArticle in proceedingsResearchpeer-review

Abstract

This paper applies contraction theory to establish necessary conditions for contraction, hence, exponential convergence of the unscented Kalman-Bucy Filter. It follows that regions of contraction can subsequently be defined, given such necessary conditions. Both state and measurement models are Itô-type stochastic differential equations. By employing a virtual/actual system framework, a special relation is established between sigma-point dynamics, and observed process states, with respect to contraction and convergence. The proposed theory is illustrated on an isothermal, non-linear CSTR process.

Original languageEnglish
Title of host publication2013 European Control Conference, ECC 2013
PublisherIEEE
Publication date2013
Pages2134-2139
Article number6669183
ISBN (Print)978-303303962-9
DOIs
Publication statusPublished - 2013
Event2013 European Control Conference, ECC 2013 - Zurich, Switzerland
Duration: 17. Jul 201319. Jul 2013

Conference

Conference2013 European Control Conference, ECC 2013
Country/TerritorySwitzerland
CityZurich
Period17/07/201319/07/2013

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