Convergent Properties of Riccati Equation with Application to Stability Analysis of State Estimation

Abstract

Since the recursive nature of Kalman filtering always results in a growing size of the optimization problem, state estimation is usually realized by use of finite‐memory, receding horizon, sliding window, or “frozen” techniques, which causes difficulties on stability analysis. This paper proposes a novel method on selection of an initial covariance matrix and a horizon for the Kalman filter to make sure that a sequence of the closed‐loop Kalman filters are stable as time‐invariant filters at subsequent time instant. Convergent properties of Riccati Difference Equation (RDE) are first exploited. Based on these properties, sufficient conditions for stability of a sequence of Kalman filters are obtained. Compared with the existent literature, the convergent properties and the stability conditions are less conservative since they provide analytic results and are applicable to more common cases where the RDEs are not monotonic.