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

Part of: Stochastic systems and control

Published online by Cambridge University Press:  18 June 2010

CHUNYAN HAN  and
HUANSHUI ZHANG
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.

Keywords

Markovian jump linear systemstime-delay systemsoptimal filteringreorganized innovation analysisRiccati equations

MSC classification

Secondary: 93E11: Filtering
Type
Research Article
Information
The ANZIAM Journal , Volume 51 , Issue 2 , October 2009 , pp. 218 - 233
Copyright
Copyright © Australian Mathematical Society 2010

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