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Filtering for linear systems involving time delays in the noise process

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1 Author(s)
Medrano-Cerda, G. ; Imperial College of Science and Technology, London, England

The filtered estimate of a linear system with delays in the noise satisfies a stochastic functional differential equation. The optimal filter is characterized by two gains which are the unique solution of two coupled Riccati-type differential equations.

Published in:

Automatic Control, IEEE Transactions on  (Volume:28 ,  Issue: 7 )