Convergence of discrete-time Kalman filter estimate to continuous-time estimate for systems with unbounded observation

Atte Aalto*

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

Abstract

In this article, we complement recent results on the convergence of the state estimate obtained by applying the discrete-time Kalman filter on a time-sampled continuous-time system. As the temporal discretization is refined, the estimate converges to the continuous-time estimate given by the Kalman–Bucy filter. We shall give bounds for the convergence rates for the variance of the discrepancy between these two estimates. The contribution of this article is to generalize the convergence results to systems with unbounded observation operators under different sets of assumptions, including systems with diagonalizable generators, systems with admissible observation operators, and systems with analytic semigroups. The proofs are based on applying the discrete-time Kalman filter on a dense, numerable subset on the time interval [0, T] and bounding the increments obtained. These bounds are obtained by studying the regularity of the underlying semigroup and the noise-free output.

Original languageEnglish
Article number9
JournalMathematics of Control, Signals, and Systems
Volume30
Issue number3
DOIs
Publication statusPublished - 1 Sep 2018
Externally publishedYes

Keywords

  • Boundary control systems
  • Infinite-dimensional systems
  • Kalman filter
  • Sampled data
  • Temporal discretization

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