Open AccessDuality of linear estimation for multiplicative noise systems with measurement delay
Author(s) -
Song Xinmin,
Yan Xuehua
Publication year - 2013
Publication title -
iet signal processing
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.384
H-Index - 42
ISSN - 1751-9683
DOI - 10.1049/iet-spr.2011.0382
Subject(s) - multiplicative noise , riccati equation , estimator , linear quadratic regulator , mathematics , noise (video) , duality (order theory) , controller (irrigation) , algebraic riccati equation , control theory (sociology) , dimension (graph theory) , multiplicative function , quadratic equation , lyapunov function , constraint (computer aided design) , lyapunov equation , linear system , mathematical optimization , optimal control , computer science , control (management) , partial differential equation , mathematical analysis , nonlinear system , signal transfer function , discrete mathematics , artificial intelligence , analog signal , image (mathematics) , biology , geometry , quantum mechanics , agronomy , statistics , physics , digital signal processing , pure mathematics , computer hardware
This study firstly investigates the estimation problem for systems with multiplicative noise and measurement delay. Based on the innovation analysis approach, the estimators are developed in terms of a Riccati equation and a Lyapunov equation. The equations are of the same dimension as the plant; therefore compared with the augmentation approach, the presented approach lessens the computational demand. Then the linear quadratic regulation (LQR) problem for input delay systems is discussed based on non‐augmented approach, and the controller is given in terms of a backward Riccati equation and a backward Lyapunov equation. Finally, the authors establish a duality between the estimation problem for measurement delay systems with multiplicative noise and the LQR problem for deterministic input delay systems with constraint conditions.