An improved stability condition for Kalman filtering with bounded Markovian packet losses
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Publication:901092
DOI10.1016/J.AUTOMATICA.2015.09.005zbMATH Open1329.93147arXiv1501.05469OpenAlexW1906645723MaRDI QIDQ901092FDOQ901092
Lihua Xie, Ling Shi, Karl Henrik Johansson, Junfeng Wu
Publication date: 23 December 2015
Published in: Automatica (Search for Journal in Brave)
Abstract: In this paper, we consider the peak-covariance stability of Kalman filtering subject to packet losses. The length of consecutive packet losses is governed by a time-homogeneous finite-state Markov chain. We establish a sufficient condition for peak-covariance stability and show that this stability check can be recast as a linear matrix inequality (LMI) feasibility problem. Comparing with the literature, the stability condition given in this paper is invariant with respect to similarity state transformations; moreover, our condition is proved to be less conservative than the existing results. Numerical examples are provided to demonstrate the effectiveness of our result.
Full work available at URL: https://arxiv.org/abs/1501.05469
Filtering in stochastic control theory (93E11) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Estimation and detection in stochastic control theory (93E10)
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Cited In (5)
- A component-based coding-decoding approach to set-membership filtering for time-varying systems under constrained bit rate
- Kalman filtering with state‐dependent packet losses
- Convergence of optimal linear filter with time-correlated fading channel and channel noise
- On consistency and stability of distributed Kalman filter under mismatched noise covariance and uncertain dynamics
- Heavy-tails in Kalman filtering with packet losses
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