Moderate Deviations of a Random Riccati Equation

@article{Kar2012ModerateDO,
  title={Moderate Deviations of a Random Riccati Equation},
  author={Soummya Kar and Jos{\'e} M. F. Moura},
  journal={IEEE Transactions on Automatic Control},
  year={2012},
  volume={57},
  pages={2250-2265}
}
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
6 Citations
26 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-10 of 26 references

Stochastic processes and filtering theory

  • A. Jazwinski
  • Dover Publications,
  • 1970
Highly Influential
5 Excerpts

A new approach to linear filtering and prediction problems

  • R. E. Kalman
  • Transactions of the ASME–Journal of Basic…
  • 1960
Highly Influential
16 Excerpts

Similar Papers

Loading similar papers…