Stability analysis of the Interacting Multiple Model algorithm
Chze Eng Seah, Inseok Hwang · 2008
The Interacting Multiple Model (IMM) algorithm is a well-known state estimation algorithm for hybrid systems. We derive a lower bound and an upper bound for the error covariance of the IMM algorithm for controllable and observable hybrid systems. We then derive sufficient conditions for the exponential stability of the IMM algorithm for a special class of hybrid systems by the Lyapunov approach.