Kybernetika 32 no. 3, 307-322, 1996

Kalman filter sensitivity with respect to parametric noises uncertainty

Nikola Madjarov and Ludmila Mihaylova


The influence of the noises uncertainty on the Kalman filter performance is characterized by sensitivity functions. Relationships for computing these functions are derived and used both for synthesizing a Kalman filter with reduced sensitivity (KFRS) and a self-tuning Kalman filter (SKF). The results are illustrated by examples.


93C70, 93E11