Determining the Upper Bound of the Spectral Norm of a Random Matrix and Its Application to Diagnosis of the Kalman Filter

  • Authors:

  • C. M. Gadzhiev

  • Affiliations:

  • Istanbul Technical University, Istanbul, Turkey cingiz@itu.edu.tr

  • Venue:
  • Cybernetics and Systems Analysis
  • Year:
  • 2004

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Abstract

An upper confidence bound for the spectral norm of a random matrix A(k) ∈ Rn×m that consists of normally distributed random variables with zero mathematical expectation is found in the paper. Based on the theoretical results obtained, an approach is proposed to dynamic diagnosis of the Kalman filter via an innovation sequence.