Integral approach to optimal filtering and control of continuous processes with time-varying delays

Abstract

This paper provides the solution of optimal filtering problems for the broad class of continuous linear systems with discrete and continuous measurements, including cases of time-varying sampling intervals and time-varying measurement delays in discrete and continuous measurements. The solution is obtained using the integral model of linear dynamic systems in the form of Ito-Volterra integrals with discontinuous measures. The developed approach is applicable to linear systems with discontinuities in states, parameters, controls, and measurements.