Optimal estimation of parameters and states in stochastic time-varying systems with time delay

Shahab Torkamani, Eric Butcher

Research output: Contribution to journalArticle

8 Scopus citations


In this study estimation of parameters and states in stochastic linear and nonlinear delay differential systems with time-varying coefficients and constant delay is explored. The approach consists of first employing a continuous time approximation to approximate the stochastic delay differential equation with a set of stochastic ordinary differential equations. Then the problem of parameter estimation in the resulting stochastic differential system is represented as an optimal filtering problem using a state augmentation technique. By adapting the extended Kalman-Bucy filter to the resulting system, the unknown parameters of the time-delayed system are estimated from noise-corrupted, possibly incomplete measurements of the states.

Original languageEnglish (US)
Pages (from-to)2188-2201
Number of pages14
JournalCommunications in Nonlinear Science and Numerical Simulation
Issue number8
Publication statusPublished - Aug 2013
Externally publishedYes



  • Extended Kalman-Bucy filter
  • Nonlinear filtering
  • Parameter estimation
  • Stochastic delay differential equations

ASJC Scopus subject areas

  • Modeling and Simulation
  • Numerical Analysis
  • Applied Mathematics

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