On Kalman filtering with faded measurements

This paper considers a sensor network where single or multiple sensors amplify and forward their measurements of a common linear dynamical system (analog uncoded transmission) to a remote fusion centre via noisy fading wireless channels. We show that the expected error covariance (with respect to the fading process) of the time-varying Kalman filter is bounded and converges to a steady state value, based on some general earlier results on asymptotic stability of Kalman filters with random parameters. More importantly, we provide explicit expressions for sequences which can be used as upper bounds on the expected error covariance, for specific instances of fading distributions and scalar measurements (per sensor). Numerical results illustrate the effectiveness of these bounds.

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