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The Stability of the Kalman Filter for Systems with Colored Observation Noises

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2 Author(s)
Wang Yuan ; Dept. of Computer Information System, Beijing Information Technology Institute, Beijing 100101, P. R. China. E-mail: ; Li Chen

The stability of the Kalman filter for the stochastic time varying linear systems with colored observation noises has been treated. In this paper, we first introduce a suitable stochastic observability (or excitation) condition to guarantee both the Lr - and exponential stability of random Riccati equations. Then we give a sufficient condition to ensure the stability of Kalman filter.

Published in:

2007 Chinese Control Conference

Date of Conference:

July 26 2007-June 31 2007