No abstract

No abstract

This paper investigates an adaptation of the high-gain Kalman filter for nonlinear continuous-discrete system with multirate sampled outputs under an observability normal form. The contribution of this article is twofold. First, we prove the global exponential convergence of this observer through the existence of bounds for the Riccati matrix. Second, we show that, under certain conditions on the sampling procedure, the observer's asynchronous continuous-discrete Riccati equation is stable and also, that its solution is bounded from above and below. An example, inspired by mobile robotics, with three outputs available is given for illustration purposes.

This article deals with the stability properties of a continuous-discrete Riccati differential equation. The main motivation comes from the theory of Kalman filters for continuous-time nonlinear systems with sampled measurements, where this type of equation often arises. Stability is to be understood in the following sense: under appropriate hypotheses, the solution matrix is always symmetric positive definite and bounded from above and below. No uniformity is expected from the sampling procedure, only an upper bound on the elapsed time between consecutive samples is needed. The exposition consists of two parts. First, the stability properties are proven and second, by means of three examples, it is shown how the article's main result applies.