Filtering for Discrete-time Linear Noise Delay Systems

被引：0

作者：

Cui, Peng ^{[1
]}

Zhang, Chenghui ^{[1
]}

Zhang, Huanshui ^{[1
]}

Xie, Lihua ^{[2
]}

机构：

[1] Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China

[2] Nanyang Technol Univ, Sch Elect & Elect Engn, Singapore 639798, Singapore

来源：

INTERNATIONAL JOURNAL OF CONTROL AUTOMATION AND SYSTEMS | 2009年 / 7卷 / 05期

基金：

美国国家科学基金会;

关键词：

Coupled Riccati equations; delayed noise; optimal state estimation;

D O I：

10.1007/s12555-009-0519-7

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Optimal state estimation problem for discrete-time systems with delays in noise sequence is investigated. Predictor similar to the traditional Kalman ones is derived based on projection formula in Hilbert space. Filter and fixed-lag smoother are obtained at the same time. The estimators are presented by solving two coupled Riccati-type difference equations. One example shows the effectiveness of the proposed approach.

引用

页码：852 / 857

页数：6

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