| Abstract: | In this paper, the optimal filtering problem for linear systems with state delay over linear observations is treated using the optimal estimate of the state transition matrix. As a result, the alternative optimal filter is derived in the form similar to the traditional Kalman–Bucy one, i.e. consists of only two equations, for the optimal estimate and the estimation error variance. This presents a significant advantage in comparison to the previously obtained optimal filter (IEEE Trans. Autom. Control 2005; 50 :684–690), which includes a variable number of covariance equations, unboundedly growing as the filtering horizon tends to infinity. Performances of the two optimal filters are compared in example; the obtained results are discussed. Copyright © 2006 John Wiley & Sons, Ltd. |
