Title :
Kalman filtering for linear discrete-time systems with multiple delayed noises
Author :
Cui, Peng ; Zhang, Huanshui ; Zhang, Chenghui ; Zhao, Hongguo
Author_Institution :
Sch. of Control Sci. & Eng., Shandong Univ., Jinan, China
Abstract :
The paper deals with the Kalman filtering problem for linear discrete-time systems with multiple noise delays. The adopted approach is based on projection formula in Hilbert space rather than state augmentation. The filters are computed by solving two coupled Riccati-type difference equations. Thus there is computational advantage. One example shows the effectiveness of the proposed approach.
Keywords :
Hilbert spaces; Kalman filters; Riccati equations; delay systems; difference equations; discrete time systems; linear systems; Hilbert space; Kalman filtering; Riccati-type difference equation; linear discrete-time system; multiple noise delay; Control systems; Covariance matrix; Delay effects; Delay estimation; Delay systems; Filtering; Gaussian noise; Kalman filters; Nonlinear filters; Riccati equations;
Conference_Titel :
Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-3871-6
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2009.5400072
