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标题:Linear Optimal Estimation for Discrete-Time Measurement Delay Systems With Multichannel Multiplicative Noise
时间:2020-01-14 21:02:40
DOI:10.1109/TCSII.2016.2551548
作者:Xinmin Song;Ju H. Park
关键词:time delay;Estimation;multiplicative noise;reorganized innovation;Riccati equation
出版源: 《Circuits & Systems II Express Briefs IEEE Tran... ,2016 ,64 (2) :1-1
摘要:This brief investigates the estimation problem for multiplicative noise systems with measurement delay. Multiplicative noise is usually assumed to be a scalar in existing literature works. We consider multichannel multiplicative noise represented by a diagonal matrix in this brief. First, based on the reorganized innovation approach, the finite-horizon filter is derived in terms of two Riccati difference equations of the same dimension as that of the given system and one Lyapunov difference equation. Then, a sufficient condition for the existence of the steady filter is presented. Finally, we provide a numerical example to demonstrate the efficiency of the proposed approach.
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