Abstract

This paper describes a method of determining the stability at the sampling instants, of a discrete closed-loop system which includes a Kalman filter. This is done by determining the z-plane poles of a special augmented transition matrix. While this result stems from stochastic optimal control work, the method applies to any, not just optimal, values of the feedback matrix, M, and filter feedforward matrix K. It is still applicable when the filter model and the plant are dissimilar in coefficient values and order.

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