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Estimation and filter stability of stochastic delay systemsLinear and nonlinear filtering for stochastic delay systems are studied. A representation theorem for conditional moment functionals is obtained, which, in turn, is used to derive stochastic differential equations describing the optimal linear or nonlinear filter. A complete characterization of the optimal filter is given for linear systems with Gaussian noise. Stability of the optimal filter is studied in the case where there are no delays in the observations. Using the duality between linear filtering and control, asymptotic stability of the optimal filter is proved. Finally, the cascade of the optimal filter and the deterministic optimal quadratic control system is shown to be asymptotically stable as well.
Document ID
19780057524
Acquisition Source
Legacy CDMS
Document Type
Reprint (Version printed in journal)
Authors
Kwong, R. H.
(Toronto, University Toronto, Canada)
Willsky, A. S.
(MIT Cambridge, Mass., United States)
Date Acquired
August 9, 2013
Publication Date
July 1, 1978
Publication Information
Publication: SIAM Journal on Control and Optimization
Volume: 16
Subject Category
Cybernetics
Accession Number
78A41433
Funding Number(s)
CONTRACT_GRANT: NRC A-3921
CONTRACT_GRANT: NSF GK-41647
CONTRACT_GRANT: NGL-22-009-124
CONTRACT_GRANT: NRC A-9067
Distribution Limits
Public
Copyright
Other

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