Bounds related to the Riccati difference equation for linear time varying systems

Author

Costa, Eduardo F. ; Astolfi, Alessandro

Author_Institution

Depto. de Mat. Aplic. e Estatistica, Univ. de Sao Paulo, Sao Carlos, Brazil

fYear

2009

fDate

15-18 Dec. 2009

Firstpage

2321

Lastpage

2326

Abstract

We study certain difference equations arising in the stability analysis of Kalman filtering for a class of linear, discrete-time, possibly non-detectable systems with incorrect noise information. We obtain bounds for the solutions of these equations and the Riccati difference equation associated with the Kalman filter, under the assumption that the Riccati solution is bounded above and an assumption of structural time invariance. Illustrative examples are included.

Keywords

Kalman filters; Riccati equations; control system analysis; difference equations; discrete time systems; linear systems; stability; time-varying systems; Kalman filtering; Riccati difference equation; discrete-time system; incorrect noise information; linear time varying system; nondetectable system; stability analysis; structural time invariance; Covariance matrix; Difference equations; Estimation error; Information filtering; Information filters; Kalman filters; Nonlinear filters; Riccati equations; Stability analysis; Time varying systems;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on

Conference_Location

Shanghai

ISSN

0191-2216

Print_ISBN

978-1-4244-3871-6

Electronic_ISBN

0191-2216

Type

conf

DOI

10.1109/CDC.2009.5400481

Filename

5400481