H∞ Filtering for Continuous-Time Linear Systems with Delay: 13th World Congress of IFAC, 1996, San Francisco USA, 30 June - 5 July

The problem of H∞ filtering for continuous-time linear systems with time-delayed measurement is investigated. We develop a methodology for designing linear filters which ensure a prescribed bound on the L2-induced gain from the noise signals to the estimation error. Filtering problems for time-varying systems on finite-horizon case, as well as stationary infinite-horizon filtering for time-invariant systems are tackled. In the finite-horizon case, our estimation procedure entails an overdesign that stems from the last d seconds of the time interval [0,T], where d is the delay length. This overdesign becomes smaller as T increases, and it vanishes in the infinite-horizon case.