Title :
Finite horizon H∞ fixed-lag smoothing for time-varying continuous systems
Author :
Huanshui Zhang ; Zhang, David
Author_Institution :
Dept. of Comput., Hong Kong Polytech. Univ., China
Abstract :
In this paper, we aim to solve the long-standing H∞ fixed-lag smoothing problem for time-varying continuous systems. By applying a novel innovation analysis approach in an indefinite linear space, a sufficient and necessary condition for the existence of an H∞ fixed-lag smoother is derived. The H∞ smoother is calculated by performing the linear matrix differential equation and the integral equation.
Keywords :
H∞ optimisation; continuous time filters; integral equations; linear differential equations; matrix algebra; smoothing methods; time-varying filters; continuous-time systems; finite horizon fixed-lag smoothing; indefinite linear space; innovation analysis; integral equation; linear matrix differential equation; time-varying continuous systems; Continuous time systems; Differential equations; Filtering; Integral equations; Noise level; Noise measurement; Smoothing methods; State estimation; Technological innovation; Time varying systems; Continuous-time systems; H $infty$; fixed-lag smoothing; innovation approach; time varying;
Journal_Title :
Circuits and Systems II: Express Briefs, IEEE Transactions on
DOI :
10.1109/TCSII.2004.832771
