Optimal filtering for linear systems with state and observation delays

@article{Basin2005OptimalFF,
  title={Optimal filtering for linear systems with state and observation delays},
  author={M. Basin and Aracelia Alcorta-Garcia and J. G. Rodriguez-Gonzalez},
  journal={Proceedings of the 2005, American Control Conference, 2005.},
  year={2005},
  pages={4039-4044 vol. 6}
}
In this paper, the optimal filtering problem for linear systems with state and observation delays is treated proceeding from the general expression for the stochastic Ito differential of the optimal estimate, error variance, and various error covariances. As a result, the optimal estimate equation similar to the traditional Kalman-Bucy one is derived; however, it is impossible to obtain a system of the filtering equations, that is closed with respect to the only two variables, the optimal… CONTINUE READING
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