Title :
Mixed ℋ2/ℋ∞ nonlinear filtering
Author :
Aliyu, M.D.S. ; Boukas, E.K.
Author_Institution :
Mech. Eng. Dept., Ecole Polytech. de Montreal, Montreal, QC, Canada
Abstract :
In this paper, we consider the mixed ℋ2/ℋ∞ filtering problem for affine nonlinear systems. Sufficient conditions for the solvability of this problem with a finite-dimensional filter are given in terms of a pair of of coupled Hamilton-Jacobi-Isaac´s equations (HJIE). For linear systems, it is shown that these conditions reduce to a pair of coupled Riccati equations similar to the ones for the control case. Both the finite-horizon and infinite-horizon problems are discussed for the case when the initial condition of the plant is known.
Keywords :
H∞ filters; H2 filters; Riccati equations; infinite horizon; linear systems; nonlinear filters; affine nonlinear systems; coupled HJIE equations; coupled Hamilton-Jacobi-Isaac equations; coupled Riccati equations; finite-dimensional filter; finite-horizon problems; infinite-horizon problems; mixed H2-H∞ nonlinear filtering; sufficient conditions; Games; Kalman filters; Linear systems; Manifolds; Noise; Nonlinear systems; ℋ∞-norms; ℋ2; Hamilton-Jacobi-Isaacs equations; Nonlinear System; dissipative system; nonlinear filtering;
Conference_Titel :
Control Conference (ECC), 2007 European
Conference_Location :
Kos
Print_ISBN :
978-3-9524173-8-6
