DocumentCode :
233397
Title :
Optimal filtering and its information version for linear discrete-time systems with single output time-delay
Author :
Hongguo Zhao
Author_Institution :
Sch. of Inf. Sci. & Technol., Taishan Univ., Taian, China
fYear :
2014
fDate :
28-30 July 2014
Firstpage :
8947
Lastpage :
8950
Abstract :
This paper investigates the optimal filtering and its information form for linear discrete-time systems with single time-delay in the observation signal. By introducing delay-free observation, the optimal filtering problem for time-delay systems can be converted into multiple steps prediction problem for delay-free systems. Then, the recursive form for optimal filter are given via innovation approach in Hilbert space. The calculation of the optimal filter involves solving one Riccati difference equation of the same dimensions as that of the original systems. The information filter can furthermore be designed by using the matrix inversion Lemma to optimal filtering formulas.
Keywords :
Hilbert spaces; Riccati equations; delay systems; discrete time filters; discrete time systems; filtering theory; linear systems; Hilbert space; Riccati difference equation; delay-free observation; delay-free systems; information filter; innovation approach; linear discrete-time systems; matrix inversion lemma; multiple step prediction problem; observation signal; optimal filtering problem; single output time-delay system; Covariance matrices; Delays; Discrete-time systems; Educational institutions; Estimation; Kalman filters; Technological innovation; Information filtering; Innovation; Optimal filtering; Time-delay systems;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Control Conference (CCC), 2014 33rd Chinese
Conference_Location :
Nanjing
Type :
conf
DOI :
10.1109/ChiCC.2014.6896506
Filename :
6896506
Link To Document :
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