• DocumentCode
    233397
  • Title

    Optimal filtering and its information version for linear discrete-time systems with single output time-delay

  • Author

    Hongguo Zhao

  • Author_Institution
    Sch. of Inf. Sci. & Technol., Taishan Univ., Taian, China
  • fYear
    2014
  • fDate
    28-30 July 2014
  • Firstpage
    8947
  • Lastpage
    8950
  • Abstract
    This paper investigates the optimal filtering and its information form for linear discrete-time systems with single time-delay in the observation signal. By introducing delay-free observation, the optimal filtering problem for time-delay systems can be converted into multiple steps prediction problem for delay-free systems. Then, the recursive form for optimal filter are given via innovation approach in Hilbert space. The calculation of the optimal filter involves solving one Riccati difference equation of the same dimensions as that of the original systems. The information filter can furthermore be designed by using the matrix inversion Lemma to optimal filtering formulas.
  • Keywords
    Hilbert spaces; Riccati equations; delay systems; discrete time filters; discrete time systems; filtering theory; linear systems; Hilbert space; Riccati difference equation; delay-free observation; delay-free systems; information filter; innovation approach; linear discrete-time systems; matrix inversion lemma; multiple step prediction problem; observation signal; optimal filtering problem; single output time-delay system; Covariance matrices; Delays; Discrete-time systems; Educational institutions; Estimation; Kalman filters; Technological innovation; Information filtering; Innovation; Optimal filtering; Time-delay systems;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Control Conference (CCC), 2014 33rd Chinese
  • Conference_Location
    Nanjing
  • Type

    conf

  • DOI
    10.1109/ChiCC.2014.6896506
  • Filename
    6896506