Title :
State-space structure of finite horizon optimal mixed H2/H∞ filters
Author :
Halder, B. ; Hassibi, B. ; Kailath, T.
Author_Institution :
Inf. Syst. Lab., Stanford Univ., CA, USA
Abstract :
We show that finite horizon optimal mixed H2/H∞ filters are not of fixed order. Moreover, when the underlying systems have state-space models of order n, the optimal finite horizon mixed H2/H∞, filter has state-space model of order no greater than n+J where J is the multiplicity of the maximum singular value of T2(K) equal to the H∞ bound γ
Keywords :
filtering theory; linear systems; state estimation; state-space methods; H∞ bound; finite horizon optimal mixed H2/H∞ filters; maximum singular value; multiplicity; state-space model; state-space structure; Cost function; Filters; Hydrogen; Infinite horizon; Lagrangian functions; Optimized production technology; State-space methods; Stress; Upper bound;
Conference_Titel :
American Control Conference, 1997. Proceedings of the 1997
Conference_Location :
Albuquerque, NM
Print_ISBN :
0-7803-3832-4
DOI :
10.1109/ACC.1997.611909
