On stable, forward, filtering and fixed-lag smoothing in a class of systems with time delays
- 1 June 1974
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 19 (3) , 266-268
- https://doi.org/10.1109/tac.1974.1100542
Abstract
The problem of optimal estimation (filtering and fixed-lag smoothing) for linear continuous time systems containing multiple time delays can be considerably simplified in the absence of state excitation noise. The optimal filter and fixed-lag smoother can be computed forward in time and are asymptotically stable.Keywords
This publication has 3 references indexed in Scilit:
- Optimal control of linear stochastic systems described by functional differential equationsJournal of Optimization Theory and Applications, 1972
- On optimal linear smoothing theoryInformation and Control, 1967
- Optimal filtering in linear systems with time delaysIEEE Transactions on Automatic Control, 1967