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Joint state filtering and parameter estimation for linear stochastic time-delay systems

Basin, Michael and Shi, Peng and Calderon-Alvarez, Dario (2010) Joint state filtering and parameter estimation for linear stochastic time-delay systems. Signal Processing, 91 (4). pp. 782-792. ISSN 0165-1684

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Abstract

This paper presents the joint state filtering and parameter estimation problem for linear stochastic time-delay systems with unknown parameters. The original problem is reduced to the mean-square filtering problem for incompletely measured bilinear time-delay system states over linear observations. The unknown parameters are considered standard Wiener processes and incorporated as additional states in the extended state vector. To deal with the new filtering problem, the paper designs the mean-square finite-dimensional filter for incompletely measured bilinear time-delay system states over linear observations. A closed system of the filtering equations is then derived for a bilinear time-delay state over linear observations. Finally, the paper solves the original joint estimation problem. The obtained solution is based on the designed mean-square filter for incompletely measured bilinear time-delay states over linear observations, taking into account that the filter for the extended state vector also serves as the identifier for the unknown parameters. In the example, performance of the designed state filter and parameter identifier is verified for a linear time-delay system with an unknown multiplicative parameter over linear observations.

Item Type: Article
Additional Information:

Online ISSN: 1872-7557

Uncontrolled Keywords: ResPubID19970. parameter identification, joint state filtering, parameter estimation, linear stochastic time-delay systems
Subjects: Faculty/School/Research Centre/Department > Institute for Logistics and Supply Chain Management (ILSCM)
FOR Classification > 0802 Computation Theory and Mathematics
SEO Classification > 970108 Expanding Knowledge in the Information and Computing Sciences
Depositing User: VUIR
Date Deposited: 10 Nov 2011 01:27
Last Modified: 10 Nov 2011 01:27
URI: http://vuir.vu.edu.au/id/eprint/7466
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