Continuous-Time Decentralized Online Estimation With Additive Noises

We study a decentralized online estimation problem with additive communication noises over the fixed digraph. Each node has a linear measurement of an unknown parameter with random measurement matrices and runs a continuous-time online estimation algorithm. We transform the convergence analysis of the algorithm into the stability analysis of the non-autonomous linear stochastic differential equation (SDE) with random time-varying coefficients, and develop the asymptotic stability by numerical approximation theory. Based on the stability results, we show that the algorithm gains can be properly designed to ensure mean square convergence if the measurement matrices and the communication graph satisfy the stochastic spatial-temporal persistence of excitation condition. Furthermore, a special case where the measurement matrices contain a Markov chain is investigated, and the theoretical results are demonstrated by a numerical example.