Title :
H∞ smoothing in discrete-time: a direct approach
Author :
Bolzern, Paolo ; Colaneri, Patrizio ; De Nicolao, Giuseppe
Author_Institution :
Dipt. di Elettronica e Informazione, Politecnico di Milano, Italy
Abstract :
The H∞ fixed-lag smoothing problem for discrete-time linear systems is considered. It is well known that such a problem can be reformulated as a filtering problem for a suitable augmented system. However, in order to check the solvability of the smoothing problem and compute the relevant gains one must solve a Riccati equation involving the augmented system matrices, an approach that may be inefficient, especially for long lags. In this paper, efficient algorithms are worked out that permit to check solvability and implement the smoother relying only on the solution of the H∞ filtering Riccati equation. In particular, this provides a fast method to compute the minimum lag guaranteeing a desired attenuation level.
Keywords :
H∞ control; Riccati equations; discrete time systems; linear systems; smoothing methods; H∞ filtering Riccati equation; H∞ fixed-lag smoothing problem; algorithms; attenuation level; augmented system matrices; discrete time linear systems; filtering problem; minimum lag; smoother relying; solvability; Attenuation measurement; Delay estimation; Filtering; Filters; Hydrogen; Linear systems; Particle measurements; Riccati equations; Smoothing methods; Time measurement;
Conference_Titel :
Decision and Control, 2002, Proceedings of the 41st IEEE Conference on
Print_ISBN :
0-7803-7516-5
DOI :
10.1109/CDC.2002.1185034