Convergence Properties in Kalman Filtering
Donald M. Leskiw, Kenneth S. Miller · Journal of Information and Optimization Sciences · 1980
The rate of convergence of solutions to dynamical systems is investigated using the Kalman technique. The criterion used is the trace of the error covariance matrix. General and specific formulas are deduced, from which the rate of convergence of solutions to large classes of physical problems may be found. Some practical illustrations are given in detail. The approach explicitly suggests how other classes of problems may be attacked effectively.