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    Stability of Kalman filtering with Markovian packet losses

    Huang, Minyi and Dey, Subhrakanti (2007) Stability of Kalman filtering with Markovian packet losses. Automatica, 43. pp. 598-607. ISSN 0005-1098

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    We consider Kalman filtering in a network with packet losses, and use a two state Markov chain to describe the normal operating condition of packet delivery and transmission failure. Based on the sojourn time of each visit to the failure or successful packet reception state, we analyze the behavior of the estimation error covariance matrix and introduce the notion of peak covariance, as an estimate of filtering deterioration caused by packet losses, which describes the upper envelope of the sequence of error covariance matrices {Pt, t ≥ 1} for the case of an unstable scalar model. We give sufficient conditions for the stability of the peak covariance process in the general vector case, and obtain a sufficient and necessary condition for the scalar case. Finally, the relationship between two different types of stability notions is discussed.

    Item Type: Article
    Keywords: Networked systems; Packet losses; Kalman filtering; Stability;
    Academic Unit: Faculty of Science and Engineering > Electronic Engineering
    Faculty of Science and Engineering > Research Institutes > Hamilton Institute
    Item ID: 14418
    Identification Number:
    Depositing User: Subhrakanti Dey
    Date Deposited: 11 May 2021 14:22
    Journal or Publication Title: Automatica
    Publisher: Elsevier
    Refereed: Yes
    Use Licence: This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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