On stability of random Riccati equations
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 theL r- and exponential stability of RRE. Then the stability of Kalman filter is analyzed with random coefficients, and theL r boundedness of filtering errors is established.
Keywordsrandom Riccati equation stochastic stability Kalman filter excitation
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