Title :
Filtering for linear systems involving time delays in the noise process
Author :
Medrano-cerda, Gustavo A.
Author_Institution :
Imperial College of Science and Technology, London, England
fDate :
7/1/1983 12:00:00 AM
Abstract :
The filtered estimate of a linear system with delays in the noise satisfies a stochastic functional differential equation. The optimal filter is characterized by two gains which are the unique solution of two coupled Riccati-type differential equations.
Keywords :
Delay systems, linear; Linear systems, stochastic; State estimation, linear systems; Stochastic systems, linear; Delay effects; Delay estimation; Delay lines; Delay systems; Differential equations; Filtering; Linear systems; Nonlinear filters; Stochastic resonance; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1983.1103318
