Convergence analysis for inexact mechanization of Kalman filtering

Abstract

A computational aspect of real-time estimation is considered, in which the estimation algorithm to be used has the standard optimal Kalman filtering structure, but the actual inverse matrix within the Kalman gain is replaced by an expedient approximation at each instant. In real-time applications, most Kalman filtering schemes are approximate to a degree as a consequence of numerical roundoff matrix inversion. The convergence properties and error estimates of such schemes are obtained to provide a theoretical basis for gauging the utility of using the above approximations of the Kalman gain matrix at each time instant. A new exponentially convergent scheme is also suggested for approximating the inverse matrix within the Kalman gain. Conditions are determined under which online approximate matrix inversion can be eliminated as the cause of Kalman filter divergence in real-time implementations. >