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Kalman filtering for multiple time-delay systems. (English) Zbl 1086.93060

Summary: This paper is to study the linear minimum variance estimation for discrete-time systems with instantaneous and \(l\)-time delayed measurements by using re-organized innovation analysis. A simple approach to the problem is presented in this paper. It is shown that the derived estimator involves solving \(l+1\) different standard Kalman filtering with the same dimension as the original system.

MSC:

93E11 Filtering in stochastic control theory
93C55 Discrete-time control/observation systems
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