Title :
Stability of the Kalman filter with stochastic time-varying parameters
Author_Institution :
Macquarie Univ., Sydney, NSW, Australia
Abstract :
We analyse the stability of the Kalman filter with time varying stochastic system parameters-a problem which has been open for a long time. A natural form of stochastic stability is established under conditions that are analogues of well known deterministic criteria. Our results are applied to obtain new and weaker conditions for stability of some adaptive algorithms
Keywords :
Kalman filters; filtering theory; stability; stochastic systems; Kalman filter; stability; stochastic time-varying parameters; Adaptive algorithm; Australia; Stability analysis; Stability criteria; State estimation; Steady-state; Stochastic processes; Stochastic systems; Time measurement; Time varying systems;
Conference_Titel :
Decision and Control, 1996., Proceedings of the 35th IEEE Conference on
Conference_Location :
Kobe
Print_ISBN :
0-7803-3590-2
DOI :
10.1109/CDC.1996.574252
