Title :
H∞ prediction and smoothing for discrete-time systems: a J-spectral factorization approach
Author :
Colaneri, P. ; Maroni, M. ; Shaked, U.
Author_Institution :
Dipt. di Elettronica e Inf., Politecnico di Milano, Italy
Abstract :
This paper deals with the H∞ filtering, prediction and smoothing problems for a discrete-time linear system. A frequency-domain J-spectral factorization approach is used. A constructive way to derive a J-spectral factor associated with the solution of each of the three problems is derived. The solution of the prediction and smoothing problems hinges on a suitable J-spectral factor for the filtering one and does not require any fictitious augmentation of the state space dimension
Keywords :
H∞ control; discrete time systems; filtering theory; frequency-domain analysis; linear systems; prediction theory; spectral analysis; state-space methods; H∞ control; discrete-time systems; filtering; frequency-domain; linear system; prediction; smoothing; spectral factorization; state space; Attenuation; Delay estimation; Fasteners; Filtering; Linear systems; Nonlinear filters; Riccati equations; Smoothing methods; Systems engineering and theory; Transfer functions;
Conference_Titel :
Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
Conference_Location :
Tampa, FL
Print_ISBN :
0-7803-4394-8
DOI :
10.1109/CDC.1998.757888
