标题：Optimal Filtering for Ito-Stochastic Continuous-time Systems with Multiple Delayed Measurements
作者：Kong, Shulan; Saif, Mehrdad; Zhang, Huanshui
作者机构：[Kong, Shulan] Qufu Normal Univ, Sch Math Sci, Qufu 273165, Peoples R China.; [Saif, Mehrdad] Simon Fraser Univ, Sch Engn Sci, Burnaby, BC V5A 1S6, 更多
会议名称：American Control Conference (ACC)
会议日期：JUN 29-JUL 01, 2011
来源：2011 AMERICAN CONTROL CONFERENCE
摘要：This paper focuses on the problem of Kalman filtering for Ito-stochastic continuous- time systems with multiple delayed measurements, for which very little work exist to date. For an Ito-stochastic system, its stochastic differential and integral have a significant place and are different from other stochastic systems owing to theWiener or the Brownian process. In this paper, an IIto-stochastic continuous- time system with multiple delayed measurements is first reduced to a system with delay free measurements by applying the stochastic analysis and calculus of stochastic variables. Next, the Ito-differentials for the optimal filter and its error variance are derived. Finally, through an illustrative example, the performance of the designed optimal filter is verified.