Difference between revisions of "NCS: Packet-based Estimation"

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<!-- Include links to materials that you used in your lecture.  At a minimum, this should include a link to your lecture presentation.  You might also include links to MATLAB scripts or other source code that students would find useful -->
 
<!-- Include links to materials that you used in your lecture.  At a minimum, this should include a link to your lecture presentation.  You might also include links to MATLAB scripts or other source code that students would find useful -->
 
<!-- Sample lecture link: * [[Media:L1-1_Intro.pdf|Lecture: Networked Control Systems: Course Overview]] -->
 
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* [[Media:L4-1_Kalman.pdf|Lecture: Kalman Filtering]]
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* [[Media:L5-1_packet_based_estimation.pdf |Lecture: Packet-based Estimation]]
  
 
== Reading ==
 
== Reading ==

Revision as of 19:46, 25 April 2006

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In this lecture, we study the effect of data loss on the performance of the Kalman filter for discrete-time linear systems. Observations are lost according to a bernoulli independent process, modeling this way the presence of a lossy networks between the sensors and the estimator. We first prove that the Kalman filter is still optimal in this new scenario. We then provide asymptotic results on the performance of the filter. In particular, we show that a transition from boundedness to instability arises if the arrival probability is lower that a critical value, that depends on the unstable eigenvalues of the system.

Lecture Materials

Reading


Additional Resources

  • The Kalman Filter, G. Welch and G. Bishop. A webpage with many links on Kalman filter.

  • Optimal Filtering, B.D.O Anderson and J.B. Moore. Dover Books on Engineering, 2005. A reissue of a book from 1979. It contains a detailed mathematical presentation of filtering problems and the Kalman filter. A very good book.