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Convergent Properties of Riccati Equation with Application to Stability Analysis of State Estimation
Joint Authors
Ding, Yongsheng
Li, Shaoyuan
Cai, X.
Source
Mathematical Problems in Engineering
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-06-12
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
Since the recursive nature of Kalman filtering always results in a growing size of the optimization problem, state estimation is usually realized by use of finite-memory, receding horizon, sliding window, or “frozen” techniques, which causes difficulties on stability analysis.
This paper proposes a novel method on selection of an initial covariance matrix and a horizon for the Kalman filter to make sure that a sequence of the closed-loop Kalman filters are stable as time-invariant filters at subsequent time instant.
Convergent properties of Riccati Difference Equation (RDE) are first exploited.
Based on these properties, sufficient conditions for stability of a sequence of Kalman filters are obtained.
Compared with the existent literature, the convergent properties and the stability conditions are less conservative since they provide analytic results and are applicable to more common cases where the RDEs are not monotonic.
American Psychological Association (APA)
Cai, X.& Ding, Yongsheng& Li, Shaoyuan. 2017. Convergent Properties of Riccati Equation with Application to Stability Analysis of State Estimation. Mathematical Problems in Engineering،Vol. 2017, no. 2017, pp.1-7.
https://search.emarefa.net/detail/BIM-1189814
Modern Language Association (MLA)
Cai, X.…[et al.]. Convergent Properties of Riccati Equation with Application to Stability Analysis of State Estimation. Mathematical Problems in Engineering No. 2017 (2017), pp.1-7.
https://search.emarefa.net/detail/BIM-1189814
American Medical Association (AMA)
Cai, X.& Ding, Yongsheng& Li, Shaoyuan. Convergent Properties of Riccati Equation with Application to Stability Analysis of State Estimation. Mathematical Problems in Engineering. 2017. Vol. 2017, no. 2017, pp.1-7.
https://search.emarefa.net/detail/BIM-1189814
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1189814