Analysis of the Kalman filter based estimation algorithm: an orthogonal decomposition approach

Authors:
Liyu Cao;Howard M. Schwartz
Affiliations:
Micro Optics Design Corp., 40 Rooney Crescent, Moncton, NB, Canada E1E 4M3;Department of Systems and Computer Engineering, Carleton University, 1125 Colonel By Drive, Ottawa, Ont., Canada K1S 5B6
Venue:
Automatica (Journal of IFAC)
Year:
2004

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Abstract

In this paper we shall provide new analysis on some fundamental properties of the Kalman filter based parameter estimation algorithms using an orthogonal decomposition approach based on the excited subspace. A theoretical analytical framework is established based on the decomposition of the covariance matrix, which appears to be very useful and effective in the analysis of a parameter estimation algorithm with the existence of an unexcited subspace. The sufficient and necessary condition for the boundedness of the covariance matrix in the Kalman filter is established. The idea of directional tracking is proposed to develop a new class of algorithms to overcome the windup problem. Based on the orthogonal decomposition approach two kinds of directional tracking algorithms are proposed. These algorithms utilize a time-varying covariance matrix and can keep stable even in the case of unsufficient and/or unbounded excitation.