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arXiv · 1501.05469

An Improved Stability Condition for Kalman Filtering with Bounded Markovian Packet Losses

Junfeng Wu·Ling Shi·Lihua Xie·Karl Henrik Johansson
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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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Junfeng Wu, Ling Shi, Lihua Xie, Karl Henrik Johansson. 2015-01-22. An Improved Stability Condition for Kalman Filtering with Bounded Markovian Packet Losses. https://arxiv.org/abs/1501.05469

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