A stochastic optimal guaranteed estimation problem for dynamic delayed systems with uncertain statistics is considered. The solution of this problem reduces to a complex nonsmooth extremal problem. To obtain an approximate solution, the nonsmooth problem is replaced by a smooth one. Constructive filtering algorithms are obtained from an approximate solution of the smooth problem under the assumption that the delay is small in comparison with the observation time. Estimates for the nonoptimality levels of the proposed filtering algorithms are derived.
Constructive Filtering Algorithms for Delayed Systems With Uncertain Statistics
Contributed by the Dynamic Systems and Control Division of THE AMERICAN SOCIETY OF MECHANICAL ENGINEERS for publication in the ASME JOURNAL OF DYNAMIC SYSTEMS, MEASUREMENT, AND CONTROL. Manuscript received by the ASME Dynamic Systems and Control Division, May 2002; final revision, December 2002. Associate Editor: N. Olgac.
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Ahmedova, N. K., Kolmanovskii, V. B., and Matasov, A. I. (June 4, 2003). "Constructive Filtering Algorithms for Delayed Systems With Uncertain Statistics ." ASME. J. Dyn. Sys., Meas., Control. June 2003; 125(2): 229–235. https://doi.org/10.1115/1.1569951
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