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The paper presents the gossip interactive Kalman filter (GIKF) for distributed Kalman filtering for networked systems and sensor networks, where intersensor communication and observations occur at the same time-scale. The communication among sensors is random; each sensor occasionally exchanges its filtering state information with a neighbor depending on the availability of the appropriate network link. We show that under a weak distributed detectability condition: 1) the GIKF error process remains stochastically bounded, irrespective of the instability of the random process dynamics; and 2) the network achieves weak consensus, i.e., the conditional estimation error covariance at a (uniformly) randomly selected sensor converges in distribution to a unique invariant measure on the space of positive semidefinite matrices (independent of the initial state). To prove these results, we interpret the filtering states (estimates and error covariances) at each node in the GIKF as stochastic particles with local interactions. We analyze the asymptotic properties of the error process by studying as a random dynamical system the associated switched (random) Riccati equation, the switching being dictated by a nonstationary Markov chain on the network graph.
Date of Publication: April 2011