Mean square stability for Kalman filtering with Markovian packet losses

Title: Mean square stability for Kalman filtering with Markovian packet losses
Creator: You, Keyou; Fu, Minyue; Xie, Lihua
Relation: Automatica Vol. 47, Issue 12, p. 2647-2657
Publisher Link: http://dx.doi.org/10.1016/j.automatica.2011.09.015
Publisher: Elsevier
Resource Type: journal article
Date: 2011
Description: This paper studies the stability of Kalman filtering over a network subject to random packet losses, which are modeled by a time-homogeneous ergodic Markov process. For second-order systems, necessary and sufficient conditions for stability of the mean estimation error covariance matrices are derived by taking into account the system structure. While for certain classes of higher-order systems, necessary and sufficient conditions are also provided to ensure stability of the mean estimation error covariance matrices. All stability criteria are expressed by simple inequalities in terms of the largest eigenvalue of the open loop matrix and transition probabilities of the Markov process. Their implications and relationships with related results in the literature are discussed.
Subject: stochastic linear systems; Kalman filtering; error covariance matrices; stability; Markovian packet losses; stopping time
Identifier: http://hdl.handle.net/1959.13/1041699
Identifier: uon:13947
Identifier: ISSN:0005-1098
Language: eng
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