Title :
A unified approach to linear estimation for discrete-time systems. I. H2 estimation
Author :
Zhang, Huanshui ; Xie, Lihua ; Soh, Yeng Chai
Author_Institution :
Sch. of Electr. & Electron. Eng., Nanyang Technol. Univ., Singapore, Singapore
Abstract :
The paper addresses the H2 estimation problem for linear discrete systems with current and delayed measurements. By re-organizing the measurements and introducing a re-organized innovation sequence, a unified solution to the H2 filtering, prediction and fixed-lag smoothing is derived based on an innovation analysis method together with projection in Hilbert space. Our solution does not require system augmentation and the estimator is given in terms of a Riccati difference equation of the same order as that of the system state. The proposed results will find important applications in sensor and data fusion
Keywords :
H∞ optimisation; Hilbert spaces; Riccati equations; difference equations; discrete time systems; filtering theory; identification; linear systems; prediction theory; sensor fusion; H2 estimation; H2 filtering; Hilbert space projection; Riccati difference equation; data fusion; delayed measurements; discrete-time systems; fixed-lag smoothing; innovation analysis method; linear discrete systems; linear estimation; prediction; reorganized innovation sequence; sensor fusion; Current measurement; Delay estimation; Difference equations; Extraterrestrial measurements; Filtering; Hilbert space; Riccati equations; Smoothing methods; State estimation; Technological innovation;
Conference_Titel :
Decision and Control, 2001. Proceedings of the 40th IEEE Conference on
Conference_Location :
Orlando, FL
Print_ISBN :
0-7803-7061-9
DOI :
10.1109/.2001.980719
