On the sensitivity of a discrete-time Kalman filter to plant-dynamics modelling errors

The sensitivity of the discrete-time Kalman filter to errors in the state transition matrix is examined. The approach makes use of the matrix Taylor expansion and estimates the deviation from the ‘nominal’ computed performance. Although only the first term of the expansion is retained, satisfactory accuracy is achieved. The method is considerably simple and constitutes a quick way to diagnose or establish limits for divergence. Direct application to stochastic observers is also possible