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H-Property of the Continuous-Time Extended Kalman Filter

[+] Author Affiliations
Jennifer L. Bonniwell, Susan C. Schneider, Edwin E. Yaz

Marquette University, Milwaukee, WI

Paper No. DSCC2016-9746, pp. V001T14A004; 8 pages
  • ASME 2016 Dynamic Systems and Control Conference
  • Volume 1: Advances in Control Design Methods, Nonlinear and Optimal Control, Robotics, and Wind Energy Systems; Aerospace Applications; Assistive and Rehabilitation Robotics; Assistive Robotics; Battery and Oil and Gas Systems; Bioengineering Applications; Biomedical and Neural Systems Modeling, Diagnostics and Healthcare; Control and Monitoring of Vibratory Systems; Diagnostics and Detection; Energy Harvesting; Estimation and Identification; Fuel Cells/Energy Storage; Intelligent Transportation
  • Minneapolis, Minnesota, USA, October 12–14, 2016
  • Conference Sponsors: Dynamic Systems and Control Division
  • ISBN: 978-0-7918-5069-5
  • Copyright © 2016 by ASME


This work elucidates another theoretical property of the ubiquitous extended Kalman filter by analyzing the energy gain of the continuous-time extended Kalman filter used as a nonlinear observer in the presence of finite-energy disturbances. The analysis provides a bound on the ratio of estimation error energy to disturbance energy, which shows that the extended Kalman filter inherently has the H-property along with being the locally optimal minimum variance estimator. A special case of this result is also shown to be the H2-property of the extended Kalman filter.

Copyright © 2016 by ASME
Topics: Kalman filters



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