Optimal filtering and filter stability of linear stochastic delay systems

R Kwong,A Willsky

doi:10.1109/cdc.1976.267730

Optimal filtering and filter stability of linear stochastic delay systems

R Kwong, A Willsky

https://doi.org/10.1109/cdc.1976.267730

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Publication Date: Dec 1, 1976

Citations: 1

Affiliation: McGill University, Massachusetts Institute of Technology

#Linear Stochastic Delay Systems #Optimal Filtering Equations + Show 8 more

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Abstract

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.

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