On stability of random Riccati equations

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	On stability of random Riccati equations
	Wang, YA; Guo, L
	1999-04-01
发表期刊	SCIENCE IN CHINA SERIES E-TECHNOLOGICAL SCIENCES
ISSN	1006-9321
卷号	42 期号:2 页码:136-148
摘要	Random Riccati equations (RRE) arise frequently in filtering, estimation and control, but their stability properties are rarely rigorously explored in the literature. First a suitable stochastic observability (or excitation) condition is introduced to guarantee both the L-r- and exponential stability of RRE. Then the stability of Kalman filter is analyzed with random coefficients, and the L-r boundedness of filtering errors is established.
关键词	random Riccati equation stochastic stability Kalman filter excitation
语种	英语
WOS研究方向	Engineering ; Materials Science
WOS类目	Engineering, Multidisciplinary ; Materials Science, Multidisciplinary
WOS记录号	WOS:000080183300003
出版者	SCIENCE PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/14376
专题	中国科学院数学与系统科学研究院
通讯作者	Wang, YA
作者单位	Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Wang, YA,Guo, L. On stability of random Riccati equations[J]. SCIENCE IN CHINA SERIES E-TECHNOLOGICAL SCIENCES,1999,42(2):136-148.
APA	Wang, YA,&Guo, L.(1999).On stability of random Riccati equations.SCIENCE IN CHINA SERIES E-TECHNOLOGICAL SCIENCES,42(2),136-148.
MLA	Wang, YA,et al."On stability of random Riccati equations".SCIENCE IN CHINA SERIES E-TECHNOLOGICAL SCIENCES 42.2(1999):136-148.