A New Look at Boundedness of Error Covariance of Kalman Filtering

In this correspondence paper, we provide a new look at the boundedness problems of error covariance of Kalman filtering. First, by utilizing the mathematical induction technique, a new bound function which is dependent on system parameters is proposed. In this manner, the boundedness problems of the error covariance can be converted to the study of the corresponding uniform bounds of the bound function. Second, based on such a bound function, the dynamic behaviors, monotonicities, and boundedness problems of error covariance are deeply explored. Consequently, a few quantitative results under minimal conditions about the uniform bounds on error covariance are obtained. Finally, examples are given to verify the correctness and effectiveness of our theoretical analyses.