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
收藏
页码：852 / 857
页数：6
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