DocumentCode
823748
Title
Optimal filtering and filter stability of linear stochastic delay systems
Author
Kwong, Raymond Hon-sing ; Willsky, Alan S.
Author_Institution
University of Montreal, Montreal, Canada
Volume
22
Issue
2
fYear
1977
fDate
4/1/1977 12:00:00 AM
Firstpage
196
Lastpage
201
Abstract
Optimal filtering equations are obtained for very general linear stochastic delay systems. Stability of the optimal filter is studied in the case where there are no delays in the observations. Using the duality between linear filtering and control, asymptotic stability of the optimal filter is proved. Finally, the cascade of the optimal filter and the deterministic optimal quadratic control system is shown to be asymptotically stable as well.
Keywords
Delay systems; Linear systems, stochastic continuous-time; Stability; State estimation; Control systems; Delay systems; Equations; Filtering; Maximum likelihood detection; Nonlinear filters; Optimal control; Stability; Stochastic processes; Stochastic systems;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1977.1101472
Filename
1101472
Link To Document