A Study on Stability of the Interacting Multiple Model Algorithm
Inseok Hwang, Chze Eng Seah, Sangjin Lee · IEEE Transactions on Automatic Control · 2016
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.