Title :
On discrete-time H∞ fixed-lag smoothing
Author :
Bolzern, Paolo ; Colaneri, Patrizio ; Nicolao, Giuseppe De
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, which is an approach that may be inefficient, especially for long lags. In this paper, efficient algorithms are worked out that permit checking of solvability and implementation of 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 :
Riccati equations; discrete time filters; linear systems; matrix algebra; smoothing methods; H∞ fixed-lag; Riccati equation; augmented system; discrete time filters; discrete time linear system; robustness; smoothing problem; Attenuation; Control systems; Filtering; Filters; Polynomials; Riccati equations; Robustness; Sampling methods; Smoothing methods; Transfer functions;
Journal_Title :
Signal Processing, IEEE Transactions on
DOI :
10.1109/TSP.2003.820091