Optimal Filtering for Stochastic Descriptor Systems with Delayed Measurements

Author

Wang, Haoqian ; Zhang, Huanshui ; Duan, Guangren ; Dai, Qionghai ; Liu, Xiaodong

Author_Institution

Dept. of Autom., Tsinghua Univ., Beijing

Volume

1

fYear

0

fDate

0-0 0

Firstpage

1763

Lastpage

1767

Abstract

This note deals with discrete-time stochastic descriptor systems with both instantaneous and delayed measurements. The condition of the estimability for such system is given. By introducing the reorganized measurement sequence, the optimal Kalman filter and corresponding filtering error covariance matrix are derived. The optimal filter is calculated without resorting to state augmentation which lessons the computation demand greatly. A numerical example is presented to illustrate the given algorithm

Keywords

Kalman filters; covariance matrices; discrete time systems; state estimation; stochastic systems; delayed measurement; delayed measurements; discrete-time systems; filtering error covariance matrix; optimal Kalman filter; optimal filtering; reorganized measurement sequence; state estimation; stochastic descriptor systems; Current measurement; Delay effects; Delay estimation; Delay systems; Filtering; Noise measurement; State estimation; Stochastic systems; Technological innovation; Time measurement; Delayed measurement; Descriptor systems; Discrete-time systems; Measurements re-organization; State estimation;

fLanguage

English

Publisher

ieee

Conference_Titel

Intelligent Control and Automation, 2006. WCICA 2006. The Sixth World Congress on

Conference_Location

Dalian

Print_ISBN

1-4244-0332-4

Type

conf

DOI

10.1109/WCICA.2006.1712656

Filename

1712656