Minimal-order observer for linear stochastic time-delay systems

A minimal-order observer for obtaining state estimates in linear stochastic time-delay systems is presented. The system model considered contains white noise disturbance in both the process and the output measurements. An observer gain matrix is derived which minimizes the estimation error in the mean-square sense. The error variance of the observer has been compared to that of an optimal Kalman filter using a second-order time-delay system as an example