Title :
Robust generalized H2 filtering — The finite-horizon case
Author :
Bittanti, Sergio ; Cuzzola, Francesco Alessandro
Author_Institution :
Dipt. di Elettron. e Inf., Politec. di Milano, Milan, Italy
Abstract :
In this paper the robust finite-horizon H2 estimation problem of a linear time-varying system is addressed in a very general way in order to face the finite-horizon filtering problem and, consequently, the fixed-lag forward-backward non-causal estimation problem. The quantity to be estimated is a generic linear combination of the state, of the input and of a suitable signal representing the uncertainty. In such a way the deconvolution problem and some type of fault detection problems are treated as particular cases. Furthermore, the so-called singular case is treated as well.
Keywords :
H∞ filters; deconvolution; linear matrix inequalities; linear systems; signal representation; time-varying systems; deconvolution problem; fault detection problem; finite-horizon case; fixed-lag forward-backward noncausal estimation problem; linear time-varying system; robust finite-horizon H2 estimation; robust generalized H2 filtering; Estimation; Europe; Fault detection; Linear matrix inequalities; Robustness; Symmetric matrices; Time-varying systems; Fault Detection; Filtering; H2 Performance; Smoothing; Unbiasedness;
Conference_Titel :
Control Conference (ECC), 2001 European
Conference_Location :
Porto
Print_ISBN :
978-3-9524173-6-2