Abstract
In this note, the basic limit behaviors of the solution to Riccati equation in the extended Kalman filter as a parameter estimator for a sinusoidal signal are analytically investigated by using lim sup and lim inf in advanced calculus. We show that if the covariance matrix has a limit, then it must be a zero matrix.
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This work was supported by the National Natural Science Foundation of China (No. 61374084).
Li Xie received the B.Sc. degree in Electronic Engineering (specializing in Automatic Control), the M.Sc. degree in Control Theory and Application, and the Ph.D. degree in Control, Guidance, and Simulation of Flight Vehicles from Xidian University in 1986, Harbin Engineering University in 1992, and Harbin Institute of Technology in 1996, respectively, all in China. He received the Ph.D. degree in Electrical Engineering from the University of New South Wales, Australia, in 2004. He is currently a professor in the School of Control and Computer Engineering, North China Electric Power University, Beijing. His research interests include control theory and its application in aerospace and power systems.
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Xie, L. Limit behaviors of extended Kalman filter as a parameter estimator for a sinusoidal signal. Control Theory Technol. 16, 203–211 (2018). https://doi.org/10.1007/s11768-018-7280-5
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DOI: https://doi.org/10.1007/s11768-018-7280-5