Optimal Linear Filtering with State and Observation Delays

In this paper, the optimal filtering problem for linear systems with state and observation delays istreated proceeding from the general expression for the stochastic Ito differential of the optimal estimate, error variance, and various error covariances. As a result, the optimal estimate equation similar to the traditional Kalman-Bucy one is derived; however, the resulting system of equations for determining the filter gain matrix consists, in the general case, of an infinite set of equations. It is then demonstrated that a finite set of the filtering equations, whose number is specified by the ratio between the current filtering horizon and the delay values, can be obtained in the particular case of equal or commensurable delays in the observation and state equations. The obtained results are illustrated by a numerical example.