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Optimal filtering for a class of linear stochastic systems with sampling

✍ Scribed by Vasile Dragan; Adrian-Mihail Stoica

Book ID: 118426047
Publisher: Elsevier Science
Year: 2012
Tongue: English
Weight: 395 KB
Volume: 48
Category: Article
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2012.06.089

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## Abstract 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 estima