Optimal full-order filtering for discrete-time systems with random measurement delays and multiple packet dropouts  

作　　者：Shuli SUN Lihua XIE Wendong XIAO 

机构地区：[1]School of Electronic Engineering, Heilongjiang University, Harbin Heilongjiang 150080, China [2]School of Electrical and Electronic Engineering, Nanyang Technological University, Singapore 639798 [3]Institute for Infocomm Research, Singapore 138632

出　　处：《控制理论与应用（英文版）》2010年第1期105-110,共6页

基　　金：supported by Agency for Science,Technology and Research Grant(SERC)(No.0521010037);Natural Science Foundation of China(No.60874062,60828006);NSFC-Guangdong Joint Foundation(No.U0735003)

摘　　要：This paper is concerned with the estimation problem for discrete-time stochastic linear systems with possible single unit delay and multiple packet dropouts. Based on a proposed uncertain model in data transmission, an optimal full-order filter for the state of the system is presented, which is shown to be of the form of employing the received outputs at the current and last time instants. The solution to the optimal filter is given in terms of a Riccati difference equation governed by two binary random variables. The optimal filter is reduced to the standard Kalman filter when there are no random delays and packet dropouts. The steady-state filter is also investigated. A sufficient condition for the existence of the steady-state filter is given. The asymptotic stability of the optimal filter is analyzed.This paper is concerned with the estimation problem for discrete-time stochastic linear systems with possible single unit delay and multiple packet dropouts. Based on a proposed uncertain model in data transmission, an optimal full-order filter for the state of the system is presented, which is shown to be of the form of employing the received outputs at the current and last time instants. The solution to the optimal filter is given in terms of a Riccati difference equation governed by two binary random variables. The optimal filter is reduced to the standard Kalman filter when there are no random delays and packet dropouts. The steady-state filter is also investigated. A sufficient condition for the existence of the steady-state filter is given. The asymptotic stability of the optimal filter is analyzed.

关 键 词：Full-order filter Random delay Packet dropouts Riccati difference equation 

分 类 号：TP301[自动化与计算机技术—计算机系统结构] TK228[自动化与计算机技术—计算机科学与技术]