Convergence analysis of a family of robust Kalman filters based on the contraction principle

Abstract

In this paper we analyze the convergence of a family of robust Kalman filters. For each filter of this family the model uncertainty is tuned according to the so called tolerance parameter. Assuming that the corresponding state-space model is reachable and observable, we show that the corresponding Riccati-like mapping is strictly contractive provided that the tolerance is sufficiently small, accordingly the filter converges.