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
Link To Document