Continuous‐time optimal unbiased FIR filter for input‐delayed systems

Abstract

ABSTRACTMost existing finite impulse response (FIR) filters are restricted to models without delays. This paper proposes an continuous‐time optimal unbiased FIR filter for input‐delayed systems (CTOUFFID). A new integral transformation relation was introduced to derive the FIR filter. By applying this relation, the CTOUFFID problem is represented as an optimal control problem with zero terminal state. The filter gain function is obtained by solving two coupled matrix differential equations using initial conditions. The paper also offers discussion on the horizon size and a few special cases. The main benefit of the proposed solution is that it provides the maximum likelihood estimate with no requirements for the initial values. Finally, an application with the ‐404 turbofan engine model is presented to demonstrate the highly robust nature of the proposed FIR filer against incomplete noise information and unspecified model uncertainties.