Some properties of solutions for the difference Riccati equations are obtained. The existence and forms of rational solutions, and the Borel exceptional value, zeros, poles and fixed points of transcendental solutions...Some properties of solutions for the difference Riccati equations are obtained. The existence and forms of rational solutions, and the Borel exceptional value, zeros, poles and fixed points of transcendental solutions are researched.展开更多
This paper is concerned with the estimation problem for discrete-time stochastic linear systems with possible single unit delay and multiple packet dropouts. Based on a proposed uncertain model in data transmission, a...This paper is concerned with the estimation problem for discrete-time stochastic linear systems with possible single unit delay and multiple packet dropouts. Based on a proposed uncertain model in data transmission, an optimal full-order filter for the state of the system is presented, which is shown to be of the form of employing the received outputs at the current and last time instants. The solution to the optimal filter is given in terms of a Riccati difference equation governed by two binary random variables. The optimal filter is reduced to the standard Kalman filter when there are no random delays and packet dropouts. The steady-state filter is also investigated. A sufficient condition for the existence of the steady-state filter is given. The asymptotic stability of the optimal filter is analyzed.展开更多
In this paper, a new approach to H-infinity fixed-lag smoothing is developed by applying the innovation analysis theory. The smoother is derived by resorting to the augmentation state. However, being completely differ...In this paper, a new approach to H-infinity fixed-lag smoothing is developed by applying the innovation analysis theory. The smoother is derived by resorting to the augmentation state. However, being completely different from the previous work,the augmented state here is considered as just a theoretical mathematical tool for deriving the estimator. A distributed algorithm for the Riccati equation of the augmented system is presented. The calcuhtion of the estimator does not require any augmentation. The comparison of the computation costs between the new approach and previous work is made. The main technique applied in this paper is the re-organized innovation analysis in an indefinite space.展开更多
This paper is concerned with the linear quadratic regulation （LQR） problem for both linear discrete-time systems and linear continuous-time systems with multiple delays in a single input channel. Our solution is giv...This paper is concerned with the linear quadratic regulation （LQR） problem for both linear discrete-time systems and linear continuous-time systems with multiple delays in a single input channel. Our solution is given in terms of the solution to a two-dimensional Riccati difference equation for the discrete-time case and a Riccati partial differential equation for the continuous-time case. The conditions for convergence and stability are provided.展开更多
This paper is concerned with the optimal linear estimation problem for linear discrete-time stochastic systems with random measurement delays. A new model that describes the random delays is constructed where possible...This paper is concerned with the optimal linear estimation problem for linear discrete-time stochastic systems with random measurement delays. A new model that describes the random delays is constructed where possible the largest delay is bounded. Based on this new model, the optimal linear estimators including filter, predictor and smoother are developed via an innovation analysis approach. The estimators are recursively computed in terms of the solutions of a Riccati difference equation and a Lyapunov difference equation. The steady-state estimators are also investigated. A sufficient condition for the convergence of the optimal linear estimators is given. A simulation example shows the effectiveness of the proposed algorithms.展开更多
基金The first author is supported by National Natural Science Foundation of China （Grant No. 10871076） the second author is supported by Korea Research Foundation （KRF） grant funded by the Korea government （MEST） （Grant No. 2009-0074210）
文摘Some properties of solutions for the difference Riccati equations are obtained. The existence and forms of rational solutions, and the Borel exceptional value, zeros, poles and fixed points of transcendental solutions are researched.
基金supported by Agency for Science,Technology and Research Grant(SERC)(No.0521010037)Natural Science Foundation of China(No.60874062,60828006)NSFC-Guangdong Joint Foundation(No.U0735003)
文摘This paper is concerned with the estimation problem for discrete-time stochastic linear systems with possible single unit delay and multiple packet dropouts. Based on a proposed uncertain model in data transmission, an optimal full-order filter for the state of the system is presented, which is shown to be of the form of employing the received outputs at the current and last time instants. The solution to the optimal filter is given in terms of a Riccati difference equation governed by two binary random variables. The optimal filter is reduced to the standard Kalman filter when there are no random delays and packet dropouts. The steady-state filter is also investigated. A sufficient condition for the existence of the steady-state filter is given. The asymptotic stability of the optimal filter is analyzed.
基金The work ofthe first author was supported bythe National Nature Science Foundation of China (No .60174017,60574016) .
文摘In this paper, a new approach to H-infinity fixed-lag smoothing is developed by applying the innovation analysis theory. The smoother is derived by resorting to the augmentation state. However, being completely different from the previous work,the augmented state here is considered as just a theoretical mathematical tool for deriving the estimator. A distributed algorithm for the Riccati equation of the augmented system is presented. The calcuhtion of the estimator does not require any augmentation. The comparison of the computation costs between the new approach and previous work is made. The main technique applied in this paper is the re-organized innovation analysis in an indefinite space.
基金supported by the National Natural Science Foundation of China (No.60828006)the National Natural Science Foundation for Distinguished Young Scholars of China (No.60825304)the Major State Basic Research Development Program of China (973 Program)(No.2009cb320600)
文摘This paper is concerned with the linear quadratic regulation （LQR） problem for both linear discrete-time systems and linear continuous-time systems with multiple delays in a single input channel. Our solution is given in terms of the solution to a two-dimensional Riccati difference equation for the discrete-time case and a Riccati partial differential equation for the continuous-time case. The conditions for convergence and stability are provided.
基金supported by the Natural Science Foundation of China (No. 60874062)the Program for New Century Excellent Talents in University(No. NCET-10-0133)that in Heilongjiang Province (No.1154-NCET-01)
文摘This paper is concerned with the optimal linear estimation problem for linear discrete-time stochastic systems with random measurement delays. A new model that describes the random delays is constructed where possible the largest delay is bounded. Based on this new model, the optimal linear estimators including filter, predictor and smoother are developed via an innovation analysis approach. The estimators are recursively computed in terms of the solutions of a Riccati difference equation and a Lyapunov difference equation. The steady-state estimators are also investigated. A sufficient condition for the convergence of the optimal linear estimators is given. A simulation example shows the effectiveness of the proposed algorithms.
