JOURNAL OF SHANDONG UNIVERSITY (ENGINEERING SCIENCE) ›› 2009, Vol. 39 ›› Issue (3): 56-61.

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H2 white noise estimation for linear continuous-time systems with delayed measurements

  

  1. ZHANG Zhi-gang:School of Control Science and Engineering, Shandong University, Jinan 250061, China； ZHAO Hong-guo:School of Information Science and Technology,  Taishan University, Taian 271021, China； YAN Jie:College of Information and Electrical Engineering, Shandong University of Science and Technology, Qingdao 266510, China)
  • Received:2009-04-07 Online:2009-06-16 Published:2009-06-16

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Abstract:

he H2 optimal input white noise estimator for linear continuous-time stochastic systems with delayed measurements was studied. The proposed approach was based on the re-organization innovation methods and projection theory in Hilbert space. The key technique of the proposed algorithm was converting the delayed measurements to non-delayed measurements. Then, The optimal white noise estimators were given by computing the solution of two standard Riccati equations with the same order as that of the original system. The proposed method is sample and does not need to compute both complex partial differential equation and operator equation of Riccati.

Key words: deconvolution; re-organized innovation; Riccati equation; time-delay systems; continuous-time system

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