Properties of a continuous-time H∞ fixed-interval smoother

Author

Einicke, Garry A.

Author_Institution

Commonwealth Sci. & Ind. Res. Organ., Pullenvale

fYear

2007

fDate

12-14 Dec. 2007

Firstpage

5413

Lastpage

5416

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 paper investigates the properties of a continuous-time smoother that employs H_infin gain matrices. 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_infin filter.

Keywords

H^infin control; Kalman filters; Riccati equations; Wiener filters; continuous time filters; matrix algebra; mean square error methods; smoothing methods; state-space methods; time-varying systems; H_infin gain matrix; Kalman filter; Riccati equation; Wiener-Hopf factor; continuous-time system; mean-square-error; minimum variance fixed-interval smoother; state-space realization; time-varying system; Filtering; Linear matrix inequalities; Nonlinear filters; Riccati equations; Smoothing methods; Stability; State estimation; USA Councils; Uncertain systems; Uncertainty; H∞ estimation; Kalman filtering; Smoothing; non-casual filtering;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 2007 46th IEEE Conference on

Conference_Location

New Orleans, LA

ISSN

0191-2216

Print_ISBN

978-1-4244-1497-0

Electronic_ISBN

0191-2216

Type

conf

DOI

10.1109/CDC.2007.4434412

Filename

4434412