Moderate Deviations of a Random Riccati Equation

@article{Kar2012ModerateDO,
  title={Moderate Deviations of a Random Riccati Equation},
  author={S. Kar and Jos{\'e} M. F. Moura},
  journal={IEEE Transactions on Automatic Control},
  year={2012},
  volume={57},
  pages={2250-2265}
}
  • S. Kar, José M. F. Moura
  • Published 2012
  • Mathematics, Computer Science
  • IEEE Transactions on Automatic Control
  • The paper characterizes the invariant filtering measures resulting from Kalman filtering with intermittent observations in which the observation arrival is modeled as a Bernoulli process with packet arrival probability γ̅. Our prior work showed that, for γ̅ >; 0 , the sequence of random conditional error covariance matrices converges weakly to a unique invariant distribution μ<sup>γ̅</sup>. This paper shows that, as γ̅ approaches one, the family {μ<sup>γ̅</sup>}<sub>γ̅ >; 0</sub> satisfies a… CONTINUE READING
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