Optimal filtering and filter stability of linear stochastic delay systems

Kwong,; Willsky,

doi:10.1109/cdc.1976.267730

Search citation statements

Order By: Relevance

Paper Sections

Select...

Introduction1

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2016

Publication Types

Select...

Article1

Book1

Relationship

Self Cite0

Independent2

Authors

Journals

Cited by 2 publications

(1 citation statement)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Hence, the corresponding Hamiltonian system is a generalized FBSDE, that is, forward stochastic differential equation (SDE) is time‐delayed, and backward stochastic differential equation (BSDE) is time‐advanced. As for filtering problem with time delay, we refer readers to . To the best of our knowledge, the filtering problem for general linear time‐delayed systems is still open, depending on time delay type and criterion.…”

Section: Introductionmentioning

confidence: 99%

Partially observed linear quadratic control problem with delay via backward separation method

Shu

2016

Optim Control Appl Methods

View full text Add to dashboard Cite

Summary In this paper, we study a partially observed linear quadratic optimal control problem derived by stochastic differential delay equations. Combining backward separation method with stochastic filtering, we obtain optimal feedback regulators in some special cases. Some filtering results for anticipated backward stochastic differential equations are also developed by expressing the solutions of the anticipated backward stochastic differential equations as some Itô's processes. Copyright © 2016 John Wiley & Sons, Ltd.

show abstract

Section: Introductionmentioning

confidence: 99%