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Probabilistic Convergence of Kalman Filtering with Nonstationary Intermittent Observations
KTH, Skolan för elektro- och systemteknik (EES), Centra, ACCESS Linnaeus Centre.
KTH, Skolan för elektro- och systemteknik (EES), Centra, ACCESS Linnaeus Centre.
KTH, Skolan för elektro- och systemteknik (EES), Centra, ACCESS Linnaeus Centre.
2014 (engelsk)Inngår i: 2014 IEEE 53RD ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC), IEEE , 2014, s. 3783-3788Konferansepaper, Publicerat paper (Fagfellevurdert)
Abstract [en]

In this paper, we consider state estimation using a Kalman filter of a linear time-invariant process with non-stationary intermittent observations caused by packet losses. The packet loss process is modeled as a sequence of independent, but not necessarily identical Bernoulli random variables. Under this model, we show how the probabilistic convergence of the trace of the prediction error covariance matrices, which is denoted as Tr(P-k), depends on the statistical property of the nonstationary packet loss process. A series of sufficient and/or necessary conditions for the convergence of sup(k >= n) Tr(P-k) and inf(k >= n) Tr(P-k) are derived. In particular, for one-step observable linear system, a sufficient and necessary condition for the convergence of inf(k >= n) Tr(P-k) is provided.

sted, utgiver, år, opplag, sider
IEEE , 2014. s. 3783-3788
Serie
IEEE Conference on Decision and Control, ISSN 0743-1546
HSV kategori
Identifikatorer
URN: urn:nbn:se:kth:diva-243779ISI: 000370073803153ISBN: 978-1-4673-6090-6 (tryckt)OAI: oai:DiVA.org:kth-243779DiVA, id: diva2:1287680
Konferanse
53rd IEEE Annual Conference on Decision and Control (CDC), DEC 15-17, 2014, Los Angeles, CA
Merknad

QC 20190211

Tilgjengelig fra: 2019-02-11 Laget: 2019-02-11 Sist oppdatert: 2019-02-11bibliografisk kontrollert

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Wu, Junfeng

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Wu, JunfengShi, GuodongJohansson, Karl Henrik
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