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OPTIMAL FILTERING IN DISCRETE-TIME SYSTEMS WITH TIME DELAYS AND MARKOVIAN JUMP PARAMETERS

Published online by Cambridge University Press:  18 June 2010

CHUNYAN HAN
Affiliation:
School of Control Science and Engineering, Shandong University, Jingshi Road 73, Jinan 250061, PR China (email: cyhan823@hotmail.com, hszhang@sdu.edu.cn)
HUANSHUI ZHANG*
Affiliation:
School of Control Science and Engineering, Shandong University, Jingshi Road 73, Jinan 250061, PR China (email: cyhan823@hotmail.com, hszhang@sdu.edu.cn)
*
For correspondence; e-mail: hszhang@sdu.edu.cn
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Abstract

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This paper investigates the linear minimum mean-square error estimation for discrete-time Markovian jump linear systems with delayed measurements. The key technique applied for treating the measurement delay is reorganization innovation analysis, by which the state estimation with delayed measurements is transformed into a standard linear mean-square filter of an associated delay-free system. The optimal filter is derived based on the innovation analysis method together with geometric arguments in an appropriate Hilbert space. The solution is given in terms of two Riccati difference equations. Finally, a simulation example is presented to illustrate the efficiency of the proposed method.

MSC classification

Type
Research Article
Copyright
Copyright © Australian Mathematical Society 2010

References

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