Stochastic Stability of the Discrete-time Kalman Filter

Author

Wang Yuan ; Wang Gang

Author_Institution

Dept. of Comput. Inf. Syst., Beijing Inf. Technol. Inst.

Volume

2

fYear

2006

fDate

16-18 Oct. 2006

Firstpage

31

Lastpage

36

Abstract

The problem of stochastic stability of the Kalman filter with stochastic time varying system parameters has been treated. In this paper, we first introduce a suitable stochastic observability (or excitation) condition to guarantee both the L_r and exponential stability of random Riccati equations (RRE). Then we analyse the stability of Kalman filter with random coefficients, establishing the L_r boundedness of filtering errors

Keywords

Kalman filters; Riccati equations; asymptotic stability; discrete time systems; observability; stochastic systems; L_r boundedness; discrete-time Kalman filter; excitation condition; exponential stability; random Riccati equations; stochastic observability condition; stochastic stability; stochastic time varying system parameters; Estimation error; Filtering; Information systems; Information technology; Riccati equations; Stability; State estimation; Stochastic processes; Stochastic systems; White noise;

fLanguage

English

Publisher

ieee

Conference_Titel

Intelligent Systems Design and Applications, 2006. ISDA '06. Sixth International Conference on

Conference_Location

Jinan

Print_ISBN

0-7695-2528-8

Type

conf

DOI

10.1109/ISDA.2006.253800

Filename

4021627