Optimal state estimation for discrete-time systems with delayed measurements

This paper investigates the linear minimum mean square error state estimation for discrete-time systems with delayed measurements. Although this problem has been studied widely in the past decades, some fundamental problems remain to be solved and some practical constraints are ignored in previous methods. This paper proposes an improved iterated estimator, using re-organization innovation and observation elimination to investigate the estimation problem. The performance and improvement is clearly demonstrated through the numerical example. The solved problem is important for some complicated engineering projects.