DocumentCode
793787
Title
Optimal filtering in linear systems with time delays
Author
Kwakernaak, H.
Author_Institution
Technological University, Delft, Netherlands
Volume
12
Issue
2
fYear
1967
fDate
4/1/1967 12:00:00 AM
Firstpage
169
Lastpage
173
Abstract
The optimal linear filtering theory of Kalman and Bucy is extended to include linear systems with multiple time delays as well as the smoothing problem. The (ordinary) filter differential equation and variance equation of the Kalman-Bucy theory are replaced by partial differential equations. An explicit solution is given of the smoothing problem for systems without time delays.
Keywords
Delay systems; Kalman filtering; Linear systems, time-varying; Time-varying systems, linear; Delay effects; Differential equations; Filtering; Integral equations; Kalman filters; Linear systems; Nonlinear filters; Partial differential equations; Smoothing methods; White noise;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1967.1098541
Filename
1098541
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