Title :
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
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;
Conference_Titel :
Intelligent Control and Automation, 2006. WCICA 2006. The Sixth World Congress on
Conference_Location :
Dalian
Print_ISBN :
1-4244-0332-4
DOI :
10.1109/WCICA.2006.1712656
