Analysis of Modeling and Bias Errors in Discrete-Time State Estimation

Abstract

This paper concerns the effects of modeling and errors in discrete-time state estimation. The newly derived algorithms include the effect of correlation between plant and measurement noise in the system. The effects of nonzero mean noise terms and errors are considered. With plant or measurement matrix errors, divergence can occur. The local or linear sensitivity approach to error analysis, where the sensitivity is defined as a partial derivative with respect to a variable parameter taken about the modeled value, will not show this divergence due to neglect of higher order terms. Approximate algorithms are presented which circumvent the problem inherent in the local sensitivity approach. These make use of a conditional bias concept which views system error as a bias, conditioned on knowledge of the state estimates. It is shown that the actual error in optimum estimation is orthogonal to the residue error for suboptimum estimation where the residue error is defined as the difference between the actual estimation error and the optimum estimation error. Two examples, one concerning an integrated navigation system, demonstrate the theoretical results.