Title :
The Stability of the Kalman Filter for Systems with Colored Observation Noises
Author :
Yuan, Wang ; Chen, Li
Author_Institution :
Beijing Inf. Technol. Inst., Beijing
Abstract :
The stability of the Kalman filter for the stochastic time varying linear systems with colored observation noises has been treated. In this paper, we first introduce a suitable stochastic observability (or excitation) condition to guarantee both the Lr - and exponential stability of random Riccati equations. Then we give a sufficient condition to ensure the stability of Kalman filter.
Keywords :
Kalman filters; linear systems; observability; stability; stochastic systems; Kalman filter stability; colored observation noise; exponential stability; random Riccati equation; stochastic observability condition; stochastic time varying linear system; Colored noise; Electronic mail; Information systems; Information technology; Kalman filters; Riccati equations; Stability; Stochastic resonance; Stochastic systems; Time varying systems; Colored noise; Kalman filter; Lr - stable;
Conference_Titel :
Control Conference, 2007. CCC 2007. Chinese
Conference_Location :
Hunan
Print_ISBN :
978-7-81124-055-9
Electronic_ISBN :
978-7-900719-22-5
DOI :
10.1109/CHICC.2006.4347374
