Title :
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
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;
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
Print_ISBN :
978-1-4244-3871-6
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2009.5400481
