DocumentCode :
1330203
Title :
A Solution to the Continuous-Time 
Fixed-Interval Smoother Problem
Author :
Einicke, Garry A.
Author_Institution :
Commonwealth Sci. & Ind. Res. Organ. (CSIRO), Pullenvale, QLD, Australia
Volume :
54
Issue :
12
fYear :
2009
Firstpage :
2904
Lastpage :
2908
Abstract :
The minimum-variance fixed-interval smoother is a state-space realization of the Wiener solution generalized for time-varying problems. It involves forward and adjoint Wiener-Hopf factor inverses in which the gains are obtained by solving a Riccati equation. This technical note introduces a continuous-time H∞ smoother having the structure of the minimum-variance version, in which the gains are obtained by solving a Riccati equation that possesses an indefinite quadratic term. It is shown that the smoother exhibits an increase in mean-square-error, the error is bounded, and the upper error bound is greater than that for the H∞ filter.
Keywords :
H∞ control; Riccati equations; continuous time systems; mean square error methods; smoothing methods; state-space methods; time-varying systems; H∞ filter; Riccati equation; Wiener solution; continuous-time H∞ fixed-interval smoother problem; mean-square-error; minimum-variance fixed-interval smoother; time-varying problems; Digital filters; Estimation error; Filtering; Kalman filters; Linear matrix inequalities; Nonlinear filters; Observers; Riccati equations; Robustness; Smoothing methods; Uncertainty; ${rm H}_{infty}$ estimation; Kalman filtering; noncausal filtering; smoothing;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.2009.2033857
Filename :
5332246
Link To Document :
