Kalman filtering over unreliable communication networks with bounded Markovian packet dropouts

We address the peak covariance stability of time‐varying Kalman filter with possible packet losses in transmitting measurement outputs to the filter via a packet‐based network. The packet losses are assumed to be bounded and driven by a finite‐state Markov process. It is shown that if the observabil...

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Bibliographic Details
Published in:International journal of robust and nonlinear control 2009-11, Vol.19 (16), p.1770-1786
Main Authors: Xiao, Nan, Xie, Lihua, Fu, Minyue
Format: Article
Language:English
Subjects:
Communication networks
Covariance
Dynamical systems
Dynamics
Kalman filtering
Kalman filters
packet losses
peak covariance stability
sojourn times
Stability
Transmission
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Summary:We address the peak covariance stability of time‐varying Kalman filter with possible packet losses in transmitting measurement outputs to the filter via a packet‐based network. The packet losses are assumed to be bounded and driven by a finite‐state Markov process. It is shown that if the observability index of the discrete‐time linear time‐invariant (LTI) system under investigation is one, the Kalman filter is peak covariance stable under no additional condition. For discrete LTI systems with observability index greater than one, a sufficient condition for peak covariance stability is obtained in terms of the system dynamics and the probability transition matrix of the Markov chain. Finally, the validity of these results is demonstrated by numerical simulations. Copyright © 2008 John Wiley & Sons, Ltd.
ISSN:1049-8923
1099-1239
1099-1239
DOI:10.1002/rnc.1389