In the analysis of a recently proposed distributed estimation algorithm based on the Kalman filtering and on gossip iterations, we needed to apply a new inequality which is valid for i.i.d. matrix valued random processes. This inequality can be useful in the analysis of the convergence rate of general jump Markov linear systems. In this paper, we present this inequality. This is based on the theory of majorization and on its use in the analysis of the singular values. Finally we will show the impact of this inequality on the performance analysis of gossip based distributed Kalman filters.

A majorization inequality and its application to distributed Kalman filtering

DEL FAVERO, SIMONE;ZAMPIERI, SANDRO
2011

Abstract

In the analysis of a recently proposed distributed estimation algorithm based on the Kalman filtering and on gossip iterations, we needed to apply a new inequality which is valid for i.i.d. matrix valued random processes. This inequality can be useful in the analysis of the convergence rate of general jump Markov linear systems. In this paper, we present this inequality. This is based on the theory of majorization and on its use in the analysis of the singular values. Finally we will show the impact of this inequality on the performance analysis of gossip based distributed Kalman filters.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11577/125364
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 5
  • ???jsp.display-item.citation.isi??? 5
social impact