- Title
- Statistical properties of the error covariance in a Kalman filter with random measurement losses
- Creator
- Rohr, Eduardo; Marelli, Damián; Fu, Minyue
- Relation
- 49th IEEE Conference on Decision and Control (CDC 2010). Proceedings of the 49th IEEE Conference on Decision and Control (Atlanta, GA 15-17 December, 2010) p. 5881-5886
- Publisher Link
- http://dx.doi.org/10.1109/CDC.2010.5717554
- Publisher
- Institute of Electrical and Electronics Engineers (IEEE)
- Resource Type
- conference paper
- Date
- 2010
- Description
- In this paper we study statistical properties of the error covariance matrix of a Kalman filter, when it is subject to random measurement losses. We introduce a sequence of tighter upper bounds for the asymptotic expected error covariance (EEC). This sequence starts with a given upper bound in the literature and converges to the actual asymptotic EEC. Although we have not yet shown the monotonic convergence of this whole sequence, monotonic convergent subsequences are identified. The feature of these subsequences is that a tighter upper bound is guaranteed if more computation is allowed. An iterative algorithm is provided for computing each of these upper bounds. A byproduct of this paper is a more compact proof for a known necessary condition on the measurement arrival probability for the asymptotic EEC to be finite. A similar analysis leads to a necessary condition on the measurement arrival probability for the error covariance to have a finite asymptotic variance.
- Subject
- Kalman filters; expected error covariance; asymptotic EEC
- Identifier
- http://hdl.handle.net/1959.13/933642
- Identifier
- uon:11679
- Identifier
- ISBN:9781424477456
- Identifier
- ISSN:0743-1546
- Rights
- Copyright © 2010 IEEE. Reprinted from the Proceedings of the 49th IEEE Conference on Decision and Control (Atlanta, GA 15-17 December, 2010) p. 5881-5886. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of the University of Newcastle products's or services. Internal or personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution must be obtained from the IEEE by writing to pubs-permissions@ieee.org. By choosing to view this document, you agree to all provisions of the copyright laws protecting it.
- Language
- eng
- Full Text
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