| Abstract: | The state estimation problem is investigated for a class of linear uncertain systems with state and noise delay. The optimal one‐step prediction algorithm is presented by introducing a fictitious noise. The predictor is designed based on the projection formula in Hilbert space and has the same dimensions as the original systems. The error covariance consists of two coupled Riccati‐type difference equations. The optimal filter and fixed‐lag smoother are provided based on the predictor. A numerical example is given to show the effectiveness of the proposed approach. |
