KF and fractals 2012-12-03

Andrea Censi. On the performance of Kalman filtering with intermittent observations: a geometric approach with fractals. In Proceedings of the American Control Conference (ACC). St. Louis, Missouri, June 2009. pdfdoi supp. material slidesbibtex

Abstract --- This paper describes the stationary distribution of the a-posteriori covariance matrix of a Kalman filter when the availability of measurements is subject to random phenomena such as lossy network links. If a certain non-overlapping condition is satisfied, the cdf has a fractal nature, and there exists a closed-form expression for it. If the condition is not satisfied, deciding whether the cdf is singular or not, even in the scalar case, is at least as hard as some open problems in measure and number theory.

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Please link here using the PURL: http://purl.org/censi/2008/fractals.