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

@article{Censi2011KalmanFW,
  title={Kalman Filtering With Intermittent Observations: Convergence for Semi-Markov Chains and an Intrinsic Performance Measure},
  author={Andrea Censi},
  journal={IEEE Transactions on Automatic Control},
  year={2011},
  volume={56},
  pages={376-381}
}
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… CONTINUE READING
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