• Corpus ID: 27050809

EE 226 a-Summary of Lecture 13 and 14 Kalman Filter : Convergence

@inproceedings{Walrand2005EE2A,
  title={EE 226 a-Summary of Lecture 13 and 14 Kalman Filter : Convergence},
  author={Jean C. Walrand},
  year={2005}
}
I. SUMMARY Here are the key ideas and results of this important topic. • SectionII reviews Kalman Filter. • A system is observable if its state can be determined from its outputs (after some delay). • A system is reachable if there are inputs to drive it to any state. • We explore the evolution of the covariance in a linear system in Section IV. • The error covariance of a Kalman Filter is bounded if the system is observable. • The covariance increases if it starts from zero. • If a system is… 

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