An improved stability condition for Kalman filtering with bounded Markovian packet losses
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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.
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Cited in
(8)- Mean square stability for Kalman filtering with Markovian packet losses
- 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
- Kalman filtering over unreliable communication networks with bounded Markovian packet dropouts
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- On consistency and stability of distributed Kalman filter under mismatched noise covariance and uncertain dynamics
- Stability of extended Kalman filtering with stochastic packet losses
- Heavy-tails in Kalman filtering with packet losses
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