| PEAK COVARIANCE STABILITY OF A RANDOM RICCATI EQUATION ARISING FROM KALMAN FILTERING WITH OBSERVATION LOSSES |
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| 引用本文： | Li XIE Lihua XIE. PEAK COVARIANCE STABILITY OF A RANDOM RICCATI EQUATION ARISING FROM KALMAN FILTERING WITH OBSERVATION LOSSES[J]. 系统科学与复杂性, 2007, 20(2): 262-272. DOI: 10.1007/s11424-007-9023-4 |
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| 作者姓名： | Li XIE Lihua XIE |
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| 作者单位： | School of Electrical and Electronic Engineering, Nanyang Technological University, Nanyang Avenue 639798, Singapore |
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| 基金项目： | This work is supported by the Agency for Science, Technology and Research of Singapore Grant （SERC Grant No. 052 101 0037）.Acknowledgement We thank Dr. Minyi Huang of Australian National University for sending us the paper [7] before publication, and Professor Weihai Zhang of Shandong Institute of Light Industry, P.R. China for his help in obtaining a copy of the paper [5]. |
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| 摘 要： |
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| 关 键 词： | 随机黎卡提方程 马尔可夫过程 卡尔曼滤波 稳定性 停止时间 |
| 收稿时间： | 2007-01-17 |
| 修稿时间： | 2007-01-17 |
Peak Covariance Stability of a Random Riccati Equation Arising from Kalman Filtering with Observation Losses |
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| Li Xie,Lihua Xie. Peak Covariance Stability of a Random Riccati Equation Arising from Kalman Filtering with Observation Losses[J]. Journal of Systems Science and Complexity, 2007, 20(2): 262-272. DOI: 10.1007/s11424-007-9023-4 |
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| Authors: | Li Xie Lihua Xie |
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| Affiliation: | (1) School of Electrical and Electronic Engineering, Nanyang Technological University, Nanyang Avenue, 639798, Singapore |
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| Abstract: | We consider the stability of a random Riccati equation with a Markovian binary jump coefficient. More specifically, we are concerned with the boundedness of the solution of a random Riccati difference equation arising from Kalman filtering with measurement losses. A sufficient condition for the peak covariance stability is obtained which has a simpler form and is shown to be less conservative in some cases than a very recent result in existing literature. Furthermore, we show that a known sufficient condition is also necessary when the observability index equals one. |
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| Keywords: | Kalman filtering observation losses Random Riccati equations stability stopping time |
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