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On filtering in delay systems with continuous dynamics and discrete‐time observations
Author(s) -
Padmanabhan L.
Publication year - 1973
Publication title -
aiche journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.958
H-Index - 167
eISSN - 1547-5905
pISSN - 0001-1541
DOI - 10.1002/aic.690190315
Subject(s) - kalman filter , control theory (sociology) , filter (signal processing) , scalar (mathematics) , ensemble kalman filter , computer science , dynamics (music) , discrete time and continuous time , filtering problem , system dynamics , extended kalman filter , moving horizon estimation , mathematics , physics , acoustics , statistics , artificial intelligence , geometry , control (management) , computer vision
Filter equations for linear delay systems with continuous‐time dynamics and discrete‐time measurements are derived by separating the estimation problem into prediction between measurements and updating at a measurement. The result is the analog of the well‐known Kalman filter for the nondelay case. A computational technique for implementing the filter is indicated and illustrated by an example of a scalar system with a delay in the dynamics as well as measurement.