The paper focuses on the Kalman filtering problem for linear continuous-time systems with multiple delayed measurements. An explicit and simpler solution to the Kalman filtering problem is presented for such systems. The approach applied is the reorganised innovation analysis. The obtained Kalman filter is given in terms of Riccati differential equations. A numerical example is given to demonstrate the proposed approach.
Inspec keywords: continuous time filters; Riccati equations; Kalman filters
Other keywords:
Subjects: Linear algebra (numerical analysis); Active filters and other active networks
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