KALMAN TYPE FILTER FOR SYSTEMS WITH DELAY IN OBSERVATION NOISE

被引：0

作者：

Bashirov, Agamirza E. ^{[1
]}

Mazhar, Zeka ^{[1
]}

Ertuerk, Sinem ^{[1
]}

机构：

[1] Eastern Mediterranean Univ, Dept Math, Gazimagusa, Cyprus

来源：

APPLIED AND COMPUTATIONAL MATHEMATICS | 2013年 / 12卷 / 03期

关键词：

Linear Stochastic System; Kalman Filtering; Riccati Equation; White Noise; Wide Band Noise; WIDE-BAND NOISE; LINEAR-SYSTEMS; PARTIAL CONTROLLABILITY;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we consider a filtering problem for linear systems with delay in observation noise. Approximating delayed white noise by wide band noises, we derive a complete set of equations for the Kalman type optimal filter in this problem. It is shown that the derived Kalman type filter reduces to the classic Kalman filter if the delay is neglected. A comparison of the newly derived Kalman type filter with the classic Kalman filter and predictor is given. On the base of the mean square difference of the respective estimates, it is observed that the newly derived Kalman filter has some medium position between the classic Kalman filter and predictor, being closer to the first one.

引用

页码：325 / 338

页数：14

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