A Study on Stability of the Interacting Multiple Model Algorithm

作者：Hwang Inseok^*; Seah Chze Eng; Lee Sangjin

来源：IEEE Transactions on Automatic Control, 2017, 62(2): 901-906.

DOI：10.1109/TAC.2016.2558156

• Hybrid systems
• interacting multiple model (IMM) algorithm
• multiple model Kalman filter
• stability analysis

The Interacting Multiple Model (IMM) algorithm has been used in various applications with good performance. However, to the best of our knowledge, stability conditions of the IMM algorithm have not been shown in the control literature. This technical note presents a sufficient condition for the exponential stability of the IMM algorithm for a class of Markov jump linear systems. We derive a lower bound and an upper bound for the error covariances of the IMM algorithm, and then derive the stability condition by the Lyapunov approach.

• 出版日期2017-2