• DocumentCode
    3012473
  • Title

    Optimal filtering and filter stability of linear stochastic delay systems

  • Author

    Kwong, Raymond H. ; Willsky, A.S.

  • Author_Institution
    McGill University
  • fYear
    1976
  • fDate
    1-3 Dec. 1976
  • Firstpage
    192
  • Lastpage
    197
  • Abstract
    Optimal filtering equations are obtained for very general linear stochastic delay systems. Asymptotic stability of the optimal filter is proved for the case where there are no delays in the observations. Finally the cascade of the optimal filter and the deterministic optimal quadratic control system is shown to be asymptotically stable as well.
  • Keywords
    Art; Computer science; Costs; Delay systems; Filtering; Nonlinear filters; Optimal control; Stability; Stochastic processes; Stochastic systems;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control including the 15th Symposium on Adaptive Processes, 1976 IEEE Conference on
  • Conference_Location
    Clearwater, FL, USA
  • Type

    conf

  • DOI
    10.1109/CDC.1976.267730
  • Filename
    4045590
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3012473