DocumentCode :
2454418
Title :
Optimal filtering for linear systems with state delay
Author :
Basin, Michael ; Rodriguez-Gonzalez, Jesus ; Martinez-Zuniga, Rodolfo
Author_Institution :
Dept. of Phys. & Mathematical Sci., Autonomous Univ. of Nuevo Leon, Mexico
Volume :
2
fYear :
2004
fDate :
2-4 Sept. 2004
Firstpage :
1503
Abstract :
In this paper, the optimal filtering problem for linear systems with state delay over linear observations is treated proceeding from the general expression for the stochastic Ito differential of the optimal estimate and the error variance. As a result, the optimal estimate equation similar to the traditional Kalman-Bucy one is derived; however, it is impossible to obtain a system of the filtering equations that is closed with respect to the only two variables, the optimal estimate and the error variance, as in the Kalman-Bucy filter. The resulting system of equations for determining the error variance consists of a set of equations, whose number is specified by the ratio between the current filtering horizon and the delay value in the state equation and increases as the filtering horizon tends to infinity. In the example, performance of the designed optimal filter for linear systems with state delay is verified against the best Kalman-Bucy filter available for linear systems without delays.
Keywords :
Kalman filters; delay systems; linear systems; optimal control; optimisation; stochastic processes; Kalman-Bucy filter; linear systems; optimal estimate equation; optimal filtering; state delay; stochastic system; time-delay system; Delay estimation; Delay lines; Delay systems; Equations; Filtering; Genetic expression; Indium tin oxide; Linear systems; Nonlinear filters; Stochastic systems;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Control Applications, 2004. Proceedings of the 2004 IEEE International Conference on
Print_ISBN :
0-7803-8633-7
Type :
conf
DOI :
10.1109/CCA.2004.1387588
Filename :
1387588
Link To Document :
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