Filtering Continuous-Time Linear Systems With Time-Varying Measurement Delay

We consider the filtering problem of LTI continuous-time systems with known and bounded measurement delays. The aim of the technical note is the design of a finite-dimensional sub-optimal filter whose performance in terms of the estimation error is comparable to optimal infinite-dimensional approaches. We show that the proposed approach allows for a precise characterization of the relationship between measurement delay and the covariance of the estimation error. In the time-varying case no restrictive hypotheses on the delay function are needed. The proposed filter can therefore be applied to delay functions for which traditional infinite-dimensional approaches cannot be straightforwardly applied.