Title :
Optimal filtering and filter stability of linear stochastic delay systems
Author :
Kwong, Raymond H. ; Willsky, A.S.
Author_Institution :
McGill University
Abstract :
Optimal filtering equations are obtained for very general linear stochastic delay systems. Asymptotic stability of the optimal filter is proved for the case where there are no delays in the observations. Finally the cascade of the optimal filter and the deterministic optimal quadratic control system is shown to be asymptotically stable as well.
Keywords :
Art; Computer science; Costs; Delay systems; Filtering; Nonlinear filters; Optimal control; Stability; Stochastic processes; Stochastic systems;
Conference_Titel :
Decision and Control including the 15th Symposium on Adaptive Processes, 1976 IEEE Conference on
Conference_Location :
Clearwater, FL, USA
DOI :
10.1109/CDC.1976.267730
