Optimal estimation for systems with time-varying delay

This study, the optimal estimation problem for discrete-time systems with time-varying delay in the measurement channel is studied. First, under the assumption that the time-varying delay is of a known upper bound, the delayed measurement can be redescribed as a measurement with multiple state delays. Then the estimation problem is transformed into one for systems with multiple measurement channels that contain the same state information as the original measurement and each channel has single constant delay. Finally, the authors derive the optimal estimator by adopting a reorganised innovation analysis approach. The estimator is designed by performing a number of Riccati difference equations.