Stability of Kalman filter for stochastic systems

• Grant number: 10/12360-3
• Support type: Regular Research Grants
• Duration: January 01, 2011 - December 31, 2012
• Field of knowledge: Engineering - Electrical Engineering
• Principal Investigator: Eduardo Fontoura Costa
• Grantee: Eduardo Fontoura Costa
• Home Institution: Instituto de Ciências Matemáticas e de Computação (ICMC). Universidade de São Paulo (USP). São Carlos , SP, Brazil

Abstract

This work plan addresses stability of Kalman filters for stochastic systems, with emphasis on discrete-time systems with Markov jump parameters. Obtaining conditions for stability of the Kalman filter is a relevant issue, as stability is a key feature for applications. Our group have been dealing with stability of filters and necessary and sufficient conditions have been obtained for linear time-varying systems; in the present work we seek for a stability notion and conditions that are typical of linear Markov jump systems, e.g. allowing to take the transition probability matrix into account. (AU)

Scientific publications

(References retrieved automatically from Web of Science and SciELO through information on FAPESP grants and their corresponding numbers as mentioned in the publications by the authors)

NARVAEZ, ALFREDO R. R.; COSTA, EDUARDO F. AVERAGE REACHABILITY OF CONTINUOUS-TIME MARKOV JUMP LINEAR SYSTEMS AND THE LINEAR MINIMUM MEAN SQUARE ESTIMATOR. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, v. 54, n. 4, p. 2063-2089, 2016. Web of Science Citations: 1.

CHAVEZ-FUENTES, JORGE R.; COSTA, EDUARDO F.; TERRA, MARCO H. Metrics of performance for discrete-time descriptor jump linear systems. AUTOMATICA, v. 50, n. 3, p. 999-1002, MAR 2014. Web of Science Citations: 0.

BARBOSA, BRENNO G.; COSTA, EDUARDO F. Lagrange Asymptotic Stability of Weak Detectable Markov Jump Linear Systems With Bounded Long Run Average Cost. IEEE Transactions on Automatic Control, v. 58, n. 5, p. 1280-1283, MAY 2013. Web of Science Citations: 0.