Optimal Filtering and Its Information Version for Linear Discrete-Time Systems with Single Output Time-Delay

摘要：

　　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.

关键词： Optimal filtering Information filtering Time-delay systems Innovation

作者: ZHAO Hongguo

作者单位: School of Information Science and Technology,Taishan University,Taian Shandong 271021,P.R.China

会议类型: 国际会议

会议名称: The 33th Chinese Control Conference第33届中国控制会议

会议地点: 南京

会议语种:英文

页码: 8947-8950

在线出版日期: 2014-07-28（万方平台首次上网日期，不代表论文的发表时间）