International Conference on Control, Automation and Systems 2008

Oct. 14-17, 2008 in COEX, Seoul, Korea

1. INTRODUCTION

The well-known Kalman filtering has been widely
used in many industrial areas. This Kalman filtering
technique requires complete specifications of both
dynamical and statistical model parameters of the
system. However, in a number of practical situations,
these models contain parameters that may deviate from
their nominal values by unknown constant or unknown
random (time varying) bias. These unknown biases may
seriously degrade the performance of the filter or even
cause the filter to diverse. To solve this problem, a new
procedure for estimating the dynamic states of a linear
stochastic system in the presence of unknown constant
bias vector was suggested by Friedland [1]. This filter is
called the two-stage Kalman filter (TKF). Many
researchers have contributed to this problem. Recently,
the TKF to consider not only a constant bias but also a
random bias has been suggested in several papers [2,3]
and several researchers extended the TKF to nonlinear
systems [4~7]. Unknown random bias of a nonlinear
system may cause a problem in the TEKF because in a
number of practical situations, the information of
unknown random bias is incomplete and the TEKF may
diverge if the initial estimates are not sufficiently good.
So the TEKF for a nonlinear system with a random bias
has to assume that the dynamic equation and the noise
covariance of unknown random bias are known. To
solve these problems, the adaptive two-stage extended
Kalman filter (ATEKF) for nonlinear stochastic systems
with unknown constant bias or unknown random bias
was proposed by Kim and coauthors [5~7]. This filter
was applied for the INS-GPS loosely coupled
navigation system with unknown fault bias. But the
stability of the ATEKF has not analyzed yet. Thus the
main topic of this paper is to analyze the stability of the
ATEKF. The analysis result shows that the upper bound
of the error covariance must be appropriately bounded
for the filter stability.
Section 2 introduces the ATEKF in brief. The detail
information is available in [6,7]. Section 3 analyzes the
stability of the ATEKF and derives the stability
condition of the ATEKF. Section 4 shows the upper
bounded condition of the error covariance for the filter
stability obtained from the results of Section 3. Finally
Section 5 summarizes and concludes.

2. ADAPTIVE TWO-STAGE
EXTENDED KALMAN FILTER

Consider the following nonlinear discrete-time
stochastic system represented by
( )
1
,
x
k k k k k
x f x b w
+
= + (1a)

1
b
k k k k
b A b w
+
= + (1b)
( )
1 1 1 1 1
,
k k k k k
z h x b v
+ + + + +
= + (1c)
where,
k
x is the 1 n state vector,
k
z is the 1 m
measurement vector and
k
b is the 1 p bias vector
with an unknown magnitude. All matrices have the
appropriate dimensions. The noise sequences
x
k
w ,
b
k
w
and
k
v are zero mean uncorrelated Gaussian random
sequences with
0 0
0 0
0 0
T
x x x
k j k
b b b
k j k kj
k j k
w w Q
E w w Q
v v R





=





(1d)
where 0
x
k
Q > , 0
b
k
Q > , 0
k
R > and
kj
is the
The Stability of the Adaptive Two-stage Extended Kalman Filter
Kwang-Hoon Kim
1
, Gyu-In Jee
2
, and Jong-Hwa Song
3

1
Department of Electronic Engineering, Konkuk University, Seoul, Korea
(Tel : +82-2-450-4131; E-mail: kwanghun@konkuk.ac.kr)
2
Department of Electronic Engineering, Konkuk University, Seoul, Korea
(Tel : +82-2-450-3070; E-mail: gijee@konkuk.ac.kr)
3
Department of Electronic Engineering, Konkuk University, Seoul, Korea
(Tel : +82-2-452-7407; E-mail: hwaya@konkuk.ac.kr)

Abstract: The well-known conventional Kalman filter requires an accurate system model and exact stochastic
information. But in a number of situations, the system model has unknown bias, which may degrade the performance of
the Kalman filter or may cause the filter to diverge. The effect of unknown bias may be more pronounced on the
Extended Kalman filter. The two-stage extended Kalman filter (TEKF) with respect to this problem has been receiving
considerable attention for a long time. In the case of a random bias, the TEKF assumes that the information of a random
bias is known. But the information of a random bias is unknown or partially known in general. To solve this problem,
the adaptive two-stage extended Kalman filter (ATEKF) for nonlinear stochastic systems with unknown constant bias
or unknown random bias was proposed by Kim and coauthors. This paper analyzes the stability of the ATEKF. To
analyze the stability of the ATEKF, this paper shows that firstly the adaptive augmented state extended Kalman filter
(ASEKF) is equivalent to the ATEKF and secondly the adaptive ASEKF is uniformly asymptotically stable. The
analysis result shows that the upper bound of the error covariance must be appropriately bounded for the filter stability.

Keywords: adaptive Kalman filtering, nonlinear filter, stability analysis

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Kronecker delta. The initial states
0
x and
0
b are
assumed to be uncorrelated with the white noise
processes
x
k
w ,
b
k
w and
k
v . Assume that
0
x and
0
b
are Gaussian random variables with [ ]
*
0 0
E x x = ,
( ) ( )
* *
0 0 0 0 0
T
x
E x x x x P

=


,
( ) ( )
* *
0 0 0 0 0
T
b
E b b b b P

=


,
*
0 0
E b b =

and
( )( )
* *
0 0 0 0 0
T
xb
E x x b b P

=


.
The function ( ) ,
k k k
f x b and ( ) ,
k k k
h x b can be
expanded by Taylor series expansion as
( )
( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )
,
, ,
, , ,
k k k
k k k k k k k k
k k k k k f k k k
f x b
f x b F x b x x
B x b b b x x b
= + + + + + +
+ + + + + + +


(2a)
( )
( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )
,
, ,
, , ,
k k k
k k k k k k k k
k k k k k h k k k
h x b
h x b H x b x x
D x b b b x x b
= +
+ +


(2b)
where ( )
k
x

and ( )
k
b are the state estimate and the
bias estimate respectively and
( ) ( ) ,
k k
k
k
x x b b
f
F
x
= + = +

=

,
( ) ( ) ,
k k
k
k
x x b b
f
B
b
= + = +

=


( ) ( ) ,
k k
k
k
x x b b
h
H
x
= =

=

,
( ) ( ) ,
k k
k
k
x x b b
h
D
b
= =

=

.
The variables
f
and
h
represent the higher order
terms in the functions ( ) ,
k k k
f x b and ( ) ,
k k k
h x b ,
respectively. If the higher order terms can be neglected,
then the nonlinear discrete-time system given by (1) can
be represented as
1
x
k k k k k k k
x F x B b w C
+
= + + + (3a)
b
k k k k
b A b w = + (3b)
k k k k k k k
z H x D b v E = + + + (3c)
where ( ) ( ) ( ) ( ) ( ) ,
k k k k k k k k
C f x b F x B b = + + + +


and ( ) ( ) ( ) ( ) ( ) ,
k k k k k k k k
E h x b H x D b =

.
An adaptive two-stage extended Kalman filter
(ATEKF) yields a solution for nonlinear stochastic
systems with a random bias based on the assumption
that the stochastic information of the random bias is
unknown or partially known. The ATEKF is defined in
Definition 1. The concept and the derivation of the
ATEKF are explained in [6,7]. So this section introduces
the ATEKF in brief.

Definition 1: A discrete-time adaptive two-stage
extended Kalman filter (ATEKF) is given by the
following coupled difference equations when the
information of the nonlinear stochastic system given by
(1) is partially known.
( ) ( ) ( ) ( ) ( ) ( )
1 1
,
k k k k k k
x x U x b b

= + + +

(4a)
( ) ( ) ( ) ( ) ( ) ( ) ,
k k k k k k
x x V x b b + = + + +

(4b)
( ) ( )
( ) ( ) ( ) ( )
( ) ( ) ( )
*
1 1
* *
1 1
,
,
b
k k k k
x x
k k
T
k k k
U x b P
P P
U x b



+ +

= +

+ +

(4c)
( ) ( )
( ) ( ) ( ) ( )
( ) ( ) ( )
*
* *
,
,
b
k k k k
x x
k k
T
k k k
V x b P
P P
V x b

+

+ = + +

(4d)
where
k
A and
b
k
Q are partially known. The ATEKF
can be decomposed into two filters such as the modified
bias free filter and the bias filter. The modified bias free
filter, which is designed on the assumption that the
biases are identically zero, gives the state estimate
( )
k
x . On the other hand, the bias filter gives the bias
estimate ( )
k
b . Finally the corrected state estimate
( )
k
x

of the ATEKF is obtained from the estimates of

two filters and the coupling equation
k
U and
k
V . The
modified bias free filter is
( ) ( ) ( ) ( ) ( )
1 1 1 1 1 1
,
k k k k k k k
x F x b x C u

= + + + + +

(5a)
( )
( ) ( ) ( ) ( )
( ) ( ) ( )
*
1 1 1 1
*
1 1 1 1
,
,
x
k k k k
x x
k k
T x
k k k k
F x b P
P
F x b Q

+ + +

=

+ + +

(5b)
( ) ( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( ) ( ) ( )
* *
1
*
, ,
, ,
x x T
k k k k k k k
x T
k k k k k k k k
K x b P H x b
H x b P H x b R

=

+



(5c)
( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )
* * *
, ,
x x x
k k k k k k k k
P I K x b H x b P

+ =



(5d)
( ) ( ) ( ) ( ) ,
x
k k k k k k k
z H x b x E =

(5e)
( ) ( )
* x x
k k k k
x x K + = + (5f)
( ) ( ) ( ) ( ) ( ) ( ) ( )
, ,
x x T
k k k k k k k k k
C H x b P H x b R = +

(5g)
1
1
1
k
x x xT
k i i
i k M
C
M

= +
=

,
x x x
k k k
C C = , 1
x
k
(5h)
and the bias filter is
( ) ( )
1 1 k k k
b A b

= + (6a)
( ) ( )
* *
1 1 1 1
b b b T b
k k k k k k
P A P A Q

= + +

(6b)
( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( ) ( ) ( )
( )
* *
1
*
*
,
, ,
b b T
k k k k k
x T
k k k k k k k
b T
k k k k
K x b P N
H x b P H x b
R N P N

=




+ +

(6c)
( ) ( ) ( ) ( ) ( )
* * *
,
b b b
k k k k k k
P I K x b N P

+ =

(6d)
( )
b x
k k k k
N b = (6e)
( ) ( )
* b b
k k k k
b b K + = + (6f)
( ) ( ) ( ) ( ) ( ) ( ) ( )
( )
, ,
x T
k k k k k k k
b
k
b T
k k k k
H x b P H x b
C
R N P N



=

+ +


(6g)
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1
1
1
k
b b bT
k i i
i k M
C
M

= +
=

,
b b b
k k k
C C = , 1
b
k
(6h)
with the coupling equations
( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( )
1 1
, ,
,
k k k k k k
k
k k k
H x b U x b
N
D x b


+ +

=

+

(7a)
( ) ( ) ( ) ( )
1
*
1 1 1
,
b b b
k k k k k k k
U x b U I Q P



+ + =

(7b)
( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( )
1 1 1 1 1 1
1
1
1 1 1
, ,
,
k k k k k k
k k
k k k
F x b V x b
U A
B x b

+ +

=

+ + +

(7c)
( ) ( ) ( )
( ) ( ) ( )
( ) ( ) ( )
1 1
*
,
,
,
k k k
k k k
x
k k k k
U x b
V x b
K x b N


+ +

=

(7d)
( ) ( ) ( ) ( )
( )
1 1
,
k k k k k k k
u U U x b A b
+ +
= + + +

(7e)
1 1
x x b
k k k k k
Q Q U Q U
+ +
= + (7f)
Here, the initial conditions are ( )
* *
0 0 0 0
x x V b + = ,
( )
*
0 0
b b + = , ( )
*
0 0 0 0 0
x x b T
P P V P V + = and ( )
*
0 0
b b
P P + =
where
( )
1
0 0 0
xb b
V P P

= .

The proposed ATEKF has low sensitivity to the
statistics of the initial state, noise and the system. Also
the ATEKF has a strong tracking ability to the suddenly
changing bias and has acceptable computational
complexity. The proposed ATEKF was applied to the
INS-GPS loosely coupled system with unknown fault
bias [6,7].

3. THE STABILITY ANALYSIS
OF THE ATEKF
In this section, the stability of the proposed ATEKF is
analyzed. Firstly, Theorem 1 shows that the adaptive
augmented state extended Kalman filter (ASEKF) of
Definition 2 is equivalent to the ATEKF of Definition 1.
Secondly, Theorem 2 shows that the adaptive ASEKF of
Definition 2 is uniformly asymptotically stable.

Definition 2: A discrete-time adaptive augmented state
extended Kalman filter (ASEKF) is given by the
following coupled difference equations when the
information of nonlinear stochastic system given by (1)
is partially known. Here, ( )
k
x and ( )
k
b are
augmented as the system state.
( ) ( )
1 1 1
a a a a
k k k k
x F x C

= + + (8a)
( ) ( )
* *
1 1 1 1
a a a a a T a
k k k k k k
P F P F Q

= + +

(8b)
( ) ( )
1
* * * a a aT a a aT
k k k k k k k
K P H H P H R

= +

(8c)
( ) ( ) ( )
* * * a a a a
k k k k
P I K H P + = (8d)
( ) ( ) ( )
* a a a a a
k k k k k k k
x x K z H x E + = +

(8e)
where 1 , 1
x b
k k
, ( )
( )
( )
k a
k
k
x
x
b

=

,
*
*
*
x
a k
k
b
k
K
K
K

=


,
k a
k
C
C

=

,
x
a k
k
b
k
Q
Q
Q

=

, ( ) ( )
1
* * xb b
k k k
U P P




( ) ( ) ( ) ( ) ( ) ( )
, ,

k k k k k k a
k
k
F x b B x b
F
A

+ + + +
=

,
( )
( ) ( )
( ) ( ) ( )
* *
*
* *
x xb
k k
a
T
k
xb b
k k
P P
P
P P


=



,
( ) ( ) ( ) ( ) ( ) ( )
, ,
a
k k k k k k k
H H x b D x b

=


,
( )
x x b
k n k k k
a
k
b
k p
I U
I

=


,
( ) ( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( )
, ,
,
k k k k k k k
k
k k k k
f x b F x b x
C
B x b b

+ + + + +

=

+ + +

,
( ) ( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( )
, ,
,
k k k k k k k
k
k k k k
h x b H x b x
E
D x b b



=



.
We use the following two-stage U-V transformation [2].
( ) ( ) ( )
a a
k k k
x T U x = (9a)
( ) ( ) ( )
a a
k k k
x T V x + = + (9b)
( ) ( ) ( ) ( )
* * a a T
k k k k
P T U P T U = (9c)
( ) ( ) ( ) ( )
* * a a T
k k k k
P T V P T V + = + (9d)
( )
* * a a
k k k
K T V K = (9e)
where ( )
k
x and ( )
k
b represent the estimates of the
modified bias free filter and the bias filter of the ATEKF
of Definition 1, respectively and
( )
( )
( )
k a
k
k
x
x
b

=

,
*
*
*
x
a k
k
b
k
K
K
K

=



( )
( ) ( )
( ) ( ) ( )
* *
*
* *
x xb
k k
a
T
k
xb b
k k
P P
P
P P


=



, ( )
I M
T M
I

=

( ) ( ) ( ) ( )
1 1
* * * * xb b xb b
k k k k k
U P P P P

=

,
( ) ( )
1
* * xb b
k k k
V P P

+ +



Theorem 1: The discrete-time adaptive augmented state
extended Kalman filter (ASEKF) of Definition 2 is
equivalent to the adaptive two-stage extended Kalman
filter (ATEKF) of Definition 1.
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(Proof) This proof is based on appendix of [2]. From
Eqs. (6b) and (7b), we obtain
( ) ( )
*
1 1 1
b b b T
k k k k k k k
U P U A P A
+ + +
= +

(10)
and from Eqs. (5c) and (6c), we obtain
( ) ( )
* * * * x x T x b T
k k k k k k k k
K M P H K N P N = + (11)
( )
* * b b T
k k k k
K M P N = (12)
where ( ) ( )
* * x T b T
k k k k k k k k
M H P H R N P N = + + . From
Eqs. (6d), (11) and (12),
( ) ( ) ( )
* * * *
T
b x b x
k k k k k k
P N K K H P + = (13)
By inductive reasoning, assume that at time k
( ) ( )
k k
x x =

, ( ) ( )
k k
x x + = +

(14a)
( ) ( )
k k
b b = , ( ) ( )
k k
b b + = + (14b)
( ) ( ) ( )
* * * x x b T
k k k k k
P P U P U = + (14c)
( ) ( ) ( )
* * * x x b T
k k k k k
P P V P V + = + + + (14d)
( ) ( )
* * xb b
k k k
P U P = , ( ) ( )
* * xb b
k k k
P V P + = + (14e)
( ) ( )
* * b b
k k
P P = , ( ) ( )
* * b b
k k
P P + = + (14f)
Using Eqs. (4b), (5a), (7c), (7e), (8a), and (14a), we
obtain
( ) ( ) ( )
( ) ( ) ( )
1
1 1 1 1

k k k k k k
k k k k
x F x B b C
x U b x
+
+ + + +
= + + + +
= + =

(15)
Using Eqs. (6a) , (8a), and (14b), we obtain
( ) ( ) ( ) ( )
1 1 k k k k k k
b A b A b b
+ +
= + = + = (16)
From Eq. (9c),
( ) ( ) ( ) ( )
( )
( ) ( ) ( )
( ) ( )
( )
( )
( ) ( ) ( ) ( )
* *
1 1 1 1
1 1 1 1
1

a a T
k k k k
x x b
k n k k k
b
k p
T
xb T x T xb T
k k k k k k k k k
b T
xb T b T x
k k k
k k k k k k k
T
xb T b T b T b
k k k k k k k k k k
P T U P T U
I U
I
F P A F P F B P F
B P A
F P B B P B Q
A P F A P B A P A Q

+ + + +
+ + + +
+
=


=



+ + + +



+ +
+ + + + +



+ + + + +



(17)
From Eq. (17),
( )
( ) ( ) ( )
( ) ( )
( ) ( ) ( ) ( )
*
1 1
1 1 1
T
x T xb T
k k k k k k x x
k k
xb T b T x
k k k k k k k
T
x b xb T b T
k k k k k k k k k
F P F B P F
P
F P B B P B Q
U A P F A P B

+ +
+ + +

+ + + +

=

+ + + +


+ + +


(18a)
( ) ( ) ( )
( ) ( )
*
1 1
1 1 1

xb x xb T b T
k k k k k k k k
x b b T b
k k k k k k k
P F P A B P A
U A P A Q

+ +
+ + +
= + + +

+ +

(18b)
( ) ( ) ( )
*
1
T T
xb b xb T b T
k k k k k k k k
P F P A B P A
+
= + + +

(18c)
( ) ( )
*
1
b b b T b
k k k k k k
P A P A Q
+
= + +

(18d)
From Eq. (18), we obtain Eqs. (19) ~ (22).
( ) ( ) ( )
* * *
1 1 1 1
x x b T
k k k k k
P P U P U
+ + + +
= + (19)
( ) ( )
* *
1 1 1
xb b
k k k
P U P
+ + +
= (20)
( ) ( ) ( )
* *
1 1
b b b T b b
k k k k k k k
P A P A Q P
+ +
= + + =

(21)
( ) ( )
( )
* * *
1 1 1 1 1 * 1 1
1 1 * *
1 1 1
x T b T x
k k k k k a k
k k b T b
k k k
P H U P N K
K M
P N K
+ + + + + +
+ +
+ + +
+
= =




(22)
From these equations, we obtain the following equation
* * *
1 1 1 1
x x b
k k k k
K K V K
+ + + +
= + (23)
( )
* * 1 *
1 1 1 1 1
b b T b
k k k k k
K P N M K

+ + + + +
= = (24)
Next, show that Eq. (14) holds at time 1 k + . Using Eqs.
(7a), (15) and (16),
( ) ( )
1 1 1 1 1 1 1
b
k k k k k k k
z H x N b E
+ + + + + + +
= (25)
Using Eq. (8e),
( )
( )
( )
( ) ( ) ( )
( ) ( ) ( )
1
1
1
*
1 1 1 1 1 1 1 1
*
1 1 1 1 1 1 1 1
k a
k
k
x
k k k k k k k k
b
k k k k k k k k
x
x
b
x K z H x D b E
b K z H x D b E
+
+
+
+ + + + + + + +
+ + + + + + + +
+
+ =

+


+


=

+


(26)
Using Eq. (26), we obtain
( ) ( ) ( ) ( )
( ) ( )
( ) ( ) ( )
*
1 1 1 1 1 1 1 1 1
* *
1 1 1 1 1 1 1
1 1 1 1


x
k k k k k k k k k
x b b
k k k k k k k
k k k k
x x K z H x D b E
x U b K V K
x V b x

+ + + + + + + + +
+ + + + + + +
+ + + +
+ = +

= + + +

= + + + = +

(27)
( ) ( )
( )
( )
( ) ( )
1 1 1
*
1 1 1
1 1 1
*
1 1 1 1

k k k
b
k k k
k k k
b b
k k k k
z H x
b b K
N b E
b K b
+ + +
+ + +
+ + +
+ + + +

+ = +


= + = +
(28)
By above equations, we obtain
( ) ( ) ( )
* * *
1 1 1 1 1
x x b T
k k k k k
P P V P V
+ + + + +
+ = + + + (29)
( ) ( )
* *
1 1 1
xb b
k k k
P V P
+ + +
+ = + (30)
( ) ( ) ( )
* * * *
1 1 1 1 1
b b b b
k k k k k
P I K N P P
+ + + + +
+ = = +

(31)
Finally, we show that Eq. (14) holds at time 0 k = .
This can be verified by initial parameters in Definition 1.
As a result, the adaptive ASEKF of Definition 2 is
equivalent to the ATEKF of Definition 1.

For convenience in the stability proof of the adaptive
ASEKF, we consider one-step formulation in terms of
the a priori variables. Consider the following nonlinear
discrete-time stochastic system represented by
( )
1 1,
a a a a
k k k k k
x f x w
+
= + + (32a)
( )
a a
k k k k
z h x v = + (32b)
where all variables are defined like Eq. (1). The
variables
1,k
means the uncertainty term that is
generated by unknown random bias.
1,k
is independent
of
a
k
w ,
k
v and
k
x . If the system information is
perfectly known,
1,k
is zero. Also
T
a T T
k k k
x x b =

,
( )
( ) ,
a a k k k
k k
k k
f x b
f x
A b

=

,
( ) ( ) ,
a a
k k k k k
h x h x b = ,
1381
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x
a k
k
b
k
w
w
w

=


,
x
a k
k
b
k
Q
Q
Q

=

and
k
x is the 1 n
state vector,
k
z is the 1 m measurement vector and
k
b is the 1 p bias vector. The function
( )
a a
k k
f x and
( )
a a
k k
h x can be expanded by Taylor series expansion as
( ) ( ) ( ) ( )
,
a a a a a a a a a a
k k k k k k k f k k
f x f x F x x x x = + +

(33a)
( ) ( ) ( ) ( )
,
a a a a a a a a a a
k k k k k k k h k k
h x h x H x x x x = + +

(33b)
where
( ) ( )
, ,
a
k
a
k k k k k k a k
k
x x k
F x b B x b f
F
x
A
=

= =

( ) ( )
, ,
a
k
a
a k
k k k k k k k
x x
h
H H x b D x b
x
=

= =




And
a
f
and
a
h
mean the higher order terms in the
function
( )
a a
k k
f x and
( )
a a
k k
h x .

Definition 3: A discrete-time adaptive augmented state
extended Kalman filter (ASEKF) is given by the
following coupled difference equations when the
information of nonlinear stochastic system (32) is
partially known. (one-step formulation in terms of the a
priori variables).
( ) ( )
*
1
a a a a a
k k k k k k k
x f x K z h x
+

= +


(34)
* * * *
1 1
a a a a aT a a a a aT
k k k k k k k k k k
P F P F Q K H P F
+ +
= +

(35)
1
* * * a a a a T a a aT
k k k k k k k k k
K F P H H P H R

= +

(36)
where 1 , 1
x b
k k
,
*
*
*
,
x
k a a k
k k
b
k k
x K
x K
b K

= =

,
( )
1
* * x x b xb b
k n k k k k a
k
b
k p
I P P
I

and
( )
* *
*
* *
x xb
k k
a
T k
xb b
k k
P P
P
P P

=


.

We define the estimation error by
a a a
k k k
x x =

. From
Eqs. (32), (33) and (34), we obtain
( ) ( ) ( )
( ) ( ) ( )
( ) ( ) ( )
( ) ( )
1 1 1
*
1,
1,
*
1,
,

,

a a a
k k k
a a a a a a a a
k k k k k k k k k k
a a a a a a a a a
k k k k k f k k k k
a a a a a a a
k k k k k k k k
a a a a a a a
k k k f k k k k
x x
f x w f x K z h x
f x F x x x x w
f x K h x v h x
F x x x x w

+ + +
=

= + + +


= + + + +


+ +


= + + +

( ) ( ) ( ) ( )
( ) ( )
( ) ( )
*
1,
*
,
,
,
a a a a a a a a a a a
k k k k k k h k k k k k
a a a a a a a
k k k f k k k k
a a a a a a a
k k k k h k k k
K h x H x x x x v h x
F x x x x w
K H x x x x v

+ + +


= + + +


+ +




( )( ) ( ) ( )
( )
* *
*
1,
*
, ,

a a a a a a a a a a a a a
k k k k k f k k k h k k k
a
k k k
a a a a
k k k k k k k
F K H x x x x K x x w
K v
F K H r s u

= + +
+
= + + +


(37)
where
1, k k
u = ,
( ) ( )
*
, ,
a a a a a a a
k f k k k h k k
r x x K x x =

and
* a a
k k k k
s w K v = .
For Lemma 1 ~ 3 and Theorem 2, the following
condition is assumed.

Condition 1: Let the following assumptions hold.
1) There are positive real numbers , , , , , 0 a c p p q r >
such that the following bounds on various matrices
hold for every 0 k :
,
a a
k k
F a H c (38a)
*
, ,
a a
n p k n p n p k m k
pI P pI qI Q rI R
+ + +
(38b)
2)
a
k
F is nonsingular for every 0 k .
3) There are positive real numbers , , , 0
f h f h
>
such that the nonlinear functions
f
and
h
in
Eqs. (33a) and (33b) are bounded via
( )
2
,
a a a a a
f k k f k k
x x x x

(39)
( )
2
,
a a a a a
h k k h k k
x x x x

(40)
for
a a
k k f
x x

and
a a
k k h
x x

.
4) There is a positive real number
1
0

> such that

uncertainty term
1,k
is bounded via
1, 1 k

(41)

To derive the Theorem 2, the following Lemmas are
needed. Lemma 1 ~ 3 are similar to Lemmas of [8].
Hence the proofs are omitted. Additionally, there exist a
constant
k
such that
* a a a a
k k k k k
P P P = .

Lemma 1: Under Condition 1, there is a real number
0 1 < < such that
* 1 a
k k
P

= satisfies the inequality
( ) ( ) ( )
* *
1
1
T
a a a a a a
k k k k k k k k
F K H F K H
+
(42)
where 0 k ,
( )
2
q
p a kc q
=

+ +


and
k
k
apc
k
r

=

Lemma 2: Under Condition 1, let
* 1 a
k k
P

= , and
,
k k
K r be given by Eqs. (36) and (37). Then there are
positive real numbers , , 0
high unknown
> such that
( ) ( ) ( ) ( )
*
3
2
T
a a a a a
k k k k k k k k k k
a a
high k k unknown
r u F K H x x r u
x x

+ + +

+

(43)
1382
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holds for
a a
k k
x x

, where
f h
k

= +
( )
2
high
a kc
p

= + +

,
1 2
k

= +
( )
2
2 2
unknown
a kc
p

= + + +

.

Lemma 3: Under Condition 1, let
* 1 a
k k
P

= , and
,
k k
K s be given by Eqs. (36) and (37). The covariance
matrices of the noise terms are bounded via
,
k n k m
Q qI R rI . Then there is a positive real number
0
noise
> independent of , such that
1
T
k k k noise
E s s
+


(44)
holds, where
2
noise
n p k m
p

+ +
= .

Theorem 2: Consider nonlinear stochastic system given
by Eq. (32) and an adaptive augmented state extended
Kalman filter (ASEKF) defined in Definition 3. Let
Condition 1 hold. Then the estimation error
k
is
exponentially bounded in mean square and bounded
with probability one, provided that the initial estimation
error satisfies
0
(45)
,
k n k m
Q qI R rI (46)
where 0 > ,
( )
2
high
a kc
p

= + +

and
min ,
2
high
p

=


.
(Proof) The proof procedure is similar to Theorem 3.1
of [8]. By the proof procedure of Theorem 3.1 of [8], we
conclude that the estimation error remains bounded if
Condition 1 is satisfied and the initial error and the
noise terms are bounded by Eqs. (45) and (46).

4. THE UPPER BOUNDED CONDITION OF
COVARIANCE FOR THE STABILITY

The upper bound p of the error covariance is an
important parameter to be related the filter stability. The
upper bounded condition of the error covariance for the
stability can be obtained from Theorem 2.
Firstly, the initial estimation error
0
must satisfy
0
for the filter stability by Theorem 2 where
( )
min , 2
high
p

= . From this fact, we can know

that if the upper bound p of the error covariance is
increased by a forgetting factor, the upper bound of
the initial estimation error
0
is decreased. This means
that the ATEKF may be even diverged in the small
initial estimation error. As a result, the upper bound p
must be bounded for the stability. Secondly, we can
obtain the bounded value of the estimation error from
Theorem 2 [7]
( ) 2 2
0
2
1
2
k
unknown noise
k
p p
E E
p

+


+



(47)
where there is a real number 0 1 < < . The bounded
value of (47) is increased by the increase of the upper
bound p . As a result, the magnitude of the upper
bound p must be appropriately bounded for the small
estimation error. These bounded condition of the upper
bound p depends on nonlinear stochastic system to be
considered.

5. CONCLUSION

This paper analyzes the stability of the ATEKF. These
analysis results show that the estimation error remains
bounded if Condition 1 holds and the initial error and
the noise terms are bounded by Eqs. (45) and (46).
Secondly, this paper shows the upper bounded condition
of error covariance for stability. For the stability of the
ATEKF, the upper bound of error covariance must be
appropriately bounded.

REFERENCES

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AC-14, pp. 359-367, 1969.
[2] C. S. Hsieh and F. C. Chen, Optimal solution of
the two-stage Kalman estimator, IEEE
Transaction on Automatic Control, AC-44, pp.
194199, 1999.
[3] M. N. Ignagni, Optimal and suboptimal
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[4] A. K. Caglayan and R. E. Lancraft, A separated
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[5] Kwang Hoon Kim, Jang Gyu Lee and Chan Gook
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[6] Kwang Hoon Kim, Jang Gyu Lee, and Chan Gook
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1383
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