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| DOI：10.1007/s11768-010-9190-z |
| Received:September 08, 2009Revised:September 08, 2009 |
| 基金项目:Agency for Science, Technology and Research Grant (SERC) (No.0521010037), Natural Science Foundation of China |
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| Optimal full-Order filtering for discrete-time systems with random measurement delays and multiple packet dropouts |
| Shuli SUN,Lihua XIE,Wendong XIAO |
| (Heilongjiang University;Nanyang Technological University;Institute for Infocomm Research) |
| Abstract: |
| 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. |
| Key words: Full-order filter Random delay Packet dropouts Riccati difference equation |
