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Kalman Filtering with Markovian Packet Losses and Stability Criteria

Huang , Minyi; Dey, Subhrakanti


We consider Kalman filtering in a network with packet losses, and use a two state Markov chain to describe the normal operating condition of packet delivery and transmission failure. We analyze the behavior of the estimation error covariance matrix and introduce the notion of peak covariance, which describes the upper envelope of the sequence of error covariance matrices {Pt, t > 1} for the case of an unstable scalar model. We give sufficient conditions for the stability of the peak covariance...[Show more]

CollectionsANU Research Publications
Date published: 2006
Type: Conference paper
Source: Proceedings of the 45th IEEE Conference on Decision and Control


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