标题:Optimal Filtering for Ito-Stochastic Continuous-time Systems with Multiple Delayed Measurements
作者:Kong, Shulan; Saif, Mehrdad; Zhang, Huanshui
通讯作者:Kong, SL
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
出版年:2011
页码:4867-4871
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.
收录类别:CPCI-S
WOS核心被引频次:1
资源类型:会议论文
TOP