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This paper is concerned with the dynamic Markov jump filters for discrete-time system with random delays in the observations. It is assumed that the delay process is modeled as a finite state Markov chain. To overcome the difficulty of estimation caused by the random delays, the single random delayed measurement system is firstly rewritten as the multiplicative noise constant-delay system. Then, by...
The paper is to investigate the white noise fixed-lag smoothing problem in an H∞ setting for continuous-time systems. Although H2 white noise fixed-lag smoothing and filtering have been well studied, the white noise smoothing under H∞ index remains difficult since the latter is equivalent to a time delay problem. Actually, by introducing a Krein-space state space model, it will be shown that the H∞...
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