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Kalman Filtering With Intermittent Observations: Convergence for Semi-Markov Chains and an Intrinsic Performance Measure

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. https://resolver.caltech.edu/CaltechAUTHORS:20110308-123056786

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Abstract

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.


Item Type:Article
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http://dx.doi.org/10.1109/TAC.2010.2097350DOIUNSPECIFIED
http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=5659465&tag=1PublisherUNSPECIFIED
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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INSPEC Accession Number: 11794066
Issue or Number:2
Record Number:CaltechAUTHORS:20110308-123056786
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20110308-123056786
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.
ID Code:22715
Collection:CaltechAUTHORS
Deposited By: Ruth Sustaita
Deposited On:09 Mar 2011 17:45
Last Modified:03 Oct 2019 02:39

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