Does the Kalman filter work for unstable systems? The error covariance may converge, but does the error converge as well to zero in unstable systems?

Pk+1|k = A Pk|k AT + Q is one of the update equations in Kalman filter, which is same as the iterative Lyapunov equation for discrete systems. The convergence of P is guaranteed only is case where...

05 April 2016 4,955 22 View