Kalman filter sensitivity with respect to parametric noises uncertainty
N.E. Madjarov, Lyudmila S. Mihaylova · Czech digital mathematics library · 1996
NIKOLA MADJAROV AND LUDMILA MIHAYLOVAThe 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.