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Peak Covariance Stability of a Random Riccati Equation Arising from Kalman Filtering with Observation Losses

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Abstract

We consider the stability of a random Riccati equation with a Markovian binary jump coefficient. More specifically, we are concerned with the boundedness of the solution of a random Riccati difference equation arising from Kalman filtering with measurement losses. A sufficient condition for the peak covariance stability is obtained which has a simpler form and is shown to be less conservative in some cases than a very recent result in existing literature. Furthermore, we show that a known sufficient condition is also necessary when the observability index equals one.

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Authors and Affiliations

  1. School of Electrical and Electronic Engineering, Nanyang Technological University, Nanyang Avenue, 639798, Singapore

    Li Xie & Lihua Xie

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  1. Li Xie
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  2. Lihua Xie
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Correspondence to Li Xie.

Additional information

This work is supported by the Agency for Science, Technology and Research of Singapore Grant (SERC Grant No. 052 101 0037).

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Xie, L., Xie, L. Peak Covariance Stability of a Random Riccati Equation Arising from Kalman Filtering with Observation Losses. Jrl Syst Sci & Complex 20, 262–272 (2007). https://doi.org/10.1007/s11424-007-9023-4

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  • DOI: https://doi.org/10.1007/s11424-007-9023-4

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