On the stability of a differential Riccati equation for continuous-discrete observers. Issue 2 (1st February 2016)

• Record Type: Journal Article
• Authors: Boizot, Nicolas; Busvelle, Eric
• Is Part Of: International journal of control. Volume 89:Issue 2(2016)
• Page Start: 322
• Page End: 336
• Publication Date: 2016-02-01
• Subjects: Riccati differential equation -- extended Kalman filter -- continuous-discrete systems -- high-gain observers; Automatic control -- Periodicals; Electronic journals; 629.8
• DOI: 10.1080/00207179.2015.1076937
• Languages: English
• ISSNs: 0020-7179

Abstract

ABSTRACT: 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.