Optimal filtering and filter stability of linear stochastic delay systems

Optimal filtering equations are obtained for very general linear stochastic delay systems. Asymptotic stability of the optimal filter is proved for the case where there are no delays in the observations. Finally the cascade of the optimal filter and the deterministic optimal quadratic control system...

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Bibliographic Details
Published in1976 IEEE Conference on Decision and Control including the 15th Symposium on Adaptive Processes pp. 192 - 197
Main Authors Kwong, R. H., Willsky, A. S.
Format Conference Proceeding
LanguageEnglish
Published IEEE 01.12.1976
Subjects
Computer science
Costs
Delay systems
Filtering
Nonlinear filters
Optimal control
Stability
Stochastic processes
Stochastic systems
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DOI10.1109/CDC.1976.267730

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Summary:Optimal filtering equations are obtained for very general linear stochastic delay systems. Asymptotic stability of the optimal filter is proved for the case where there are no delays in the observations. Finally the cascade of the optimal filter and the deterministic optimal quadratic control system is shown to be asymptotically stable as well.
DOI:10.1109/CDC.1976.267730