Censi, Andrea (2011) Kalman Filtering With Intermittent Observations: Convergence for Semi-Markov Chains and an Intrinsic Performance Measure. IEEE Transactions on Automatic Control, 56 (2). pp. 376-381. ISSN 0018-9286 http://resolver.caltech.edu/CaltechAUTHORS:20110308-123056786
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This technical note shows that the stationary distribution for the covariance of Kalman filtering with intermittent observations exists under mild conditions for a very general class of packet dropping models (semi-Markov chain). These results are proved using the geometric properties of Riccati recursions with respect to a particular Riemannian distance. Moreover, the Riemannian mean induced by that distance is always bounded, therefore it can be used for characterizing the performance of the system for regimes where the moments of the covariance do not exist. Other interesting properties of that mean include the symmetry between covariance and information matrices (averaging covariances or their inverse gives the same result), and its interpretation in information geometry as the “natural” mean for the manifold of Gaussian distributions.
|Additional Information:||© 2010 IEEE. Manuscript received May 25, 2009; revised January 26, 2010 and February 02, 2010; accepted September 24, 2010. Date of publication December 06, 2010; date of current version February 09, 2011. Recommended by Associate Editor F. Dabbene.|
|Subject Keywords:||Information geometry; intrinsic estimation; Kalman filtering; packet drops|
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|Official Citation:||Censi, A.; , "Kalman Filtering With Intermittent Observations: Convergence for Semi-Markov Chains and an Intrinsic Performance Measure," Automatic Control, IEEE Transactions on , vol.56, no.2, pp.376-381, Feb. 2011 doi: 10.1109/TAC.2010.2097350 URL: http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=5659465&isnumber=5710453|
|Usage Policy:||No commercial reproduction, distribution, display or performance rights in this work are provided.|
|Deposited By:||Ruth Sustaita|
|Deposited On:||09 Mar 2011 17:45|
|Last Modified:||27 Sep 2012 23:53|
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