OPTIMAL FILTERING WITH DELAYED AND NON-DELAYED MEASUREMENTS

This paper deals with an estimation problem with two different kinds of sensors. The first sensor is characterized by a relatively fast sampling rate and a small time delay. The second sensor is characterized by a slow sampling rate and a large time delay. A typical example of the latter is a ”soft sensor.” The paper provides a solution to the estimation problem in a Kalman Filtering setup, and discusses implementation details using square-root UD factorization.