State estimation from retarded measurements

Abstract

A modified Kalman filter algorithm, which provides optimal estimates of system states for systems in which some or all measurements are retarded (delayed), is presented. The measurement retardations which are permitted for processing in the proposed algorithm are not restricted to integer multiples of the filter sampling period. The proposed algorithm is applied to a simulated example system with delayed measurements and its performance is compared to that of a standard Kalman filter applied to the same system. The modified Kalman filter has been shown to provide much better performance than the standard Kalman filter. >