Convergence and mean square stability of optimal estimators for systems with measurement packet dropping

This paper is concerned with estimation problem for discrete-time systems with packet dropping. A new optimal filter is derived by minimizing the mean squared estimation error. An optimal smoother is also derived in a similar way. Both estimators are designed by solving one deterministic Riccati equation. Both the convergence of the estimation error covariance and mean square stability of the estimator are proved under standard assumption. It is shown that the new estimator has smaller error covariance and has wider applications as compared with the MMSE estimator. One of the key techniques adopted in this paper is the introduction of the innovation sequence for the multiplicative noise systems.