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This document analyzes the convergence of the extended Kalman filter (EKF) when used as an observer for nonlinear discrete-time systems in noisy environments. It first provides background on difference equations and the EKF. It then presents the EKF equations and defines the error dynamics equation. The main results identify conditions on the system matrices and noise covariances that ensure the error covariances Pk and Pk-1 remain bounded. Specifically, it is shown that if the system satisfies certain cond

Author

sumathy S

Language

EN