On asymptotic stability of the time-varying Kalman filter for unstabilizable linear systems: an optimization perspective

Abstract

This paper establishes the necessary and sufficient conditions for asymptotic stability of the time-varying Kalman filter applied to a linear time invariant system with semidefinite initial state covariance and positive definite process and measurement noise. Rather than analyze the discrete Riccati equation as in the classic literature, the equivalent state smoothing optimization problem is stated and all results are established using properties of this optimization problem. A Lyapunov-like function, termed a modified $Q$-function is derived and used for this analysis. This optimization approach removes the need for the classic but cumbersome Riccati iteration algebra and provides better generalization and application for nonlinear systems.