Title :
Stochastic Stability of the Discrete-time Kalman Filter
Author :
Wang Yuan ; Wang Gang
Author_Institution :
Dept. of Comput. Inf. Syst., Beijing Inf. Technol. Inst.
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 Lr and exponential stability of random Riccati equations (RRE). Then we analyse the stability of Kalman filter with random coefficients, establishing the Lr boundedness of filtering errors
Keywords :
Kalman filters; Riccati equations; asymptotic stability; discrete time systems; observability; stochastic systems; Lr 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;
Conference_Titel :
Intelligent Systems Design and Applications, 2006. ISDA '06. Sixth International Conference on
Conference_Location :
Jinan
Print_ISBN :
0-7695-2528-8
DOI :
10.1109/ISDA.2006.253800
