| Full text | |
| Author(s): |
Narvaez, Alfredo R. R.
;
Costa, Eduardo F.
;
IEEE
Total Authors: 3
|
| Document type: | Journal article |
| Source: | 2017 IEEE 56TH ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC); v. N/A, p. 6-pg., 2017-01-01. |
| Abstract | |
Stability of state estimators for Markov jump linear systems featuring time-varying and correlated noise processes are studied in this paper. Three conditions for stability are presented, starting with a more general one requiring positiveness of the covariance of the error estimate, and is applicable to a class of filters that contains the well known linear minimum mean square estimators. It is then derived a more strict condition based on the plant parameters only, which may be interpreted as requiring that the state additive noise pervades every system dynamics. Finally, we consider a structural notion linked with the reachability gramian and we show it is a sufficient condition for the previous ones to be fulfilled, thus linking the filter stability with the structure of the plant, and present a simple rank test. Illustrative examples are included. (AU) | |
| FAPESP's process: | 13/19380-8 - Control and filtering of stochastic systems |
| Grantee: | Eduardo Fontoura Costa |
| Support Opportunities: | Regular Research Grants |