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On convergence of the unscented Kalman–Bucy filter using contraction theory

2014
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International Journal of Systems Science
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Contraction theory entails a theoretical framework in which convergence of a nonlinear system can be analysed differentially in an appropriate contraction metric. This paper is concerned with utilizing stochastic contraction theory to conclude on exponential convergence of the Unscented Kalman-Bucy Filter. The underlying process and measurement models of interest are Itô-type stochastic differential equations. In particular, statistical linearisation techniques are employed in a virtual-actual

doi:10.1080/00207721.2014.953799
fatcat:wxwth4eybzdlreyqb5zgo43wl4