An innovation approach to Hprediction for continuous-time systems with application to systems with delayed measurements

Huanshui Zhang, Dapeng Zhang, Lihua Xie

Research output: Journal article publicationJournal articleAcademic researchpeer-review

65 Citations (Scopus)


This paper studies the problem of H∞prediction for linear continuous-time systems. By developing a new method of characterizing the innovation process and applying a novel innovation analysis approach in Krein space, a necessary and sufficient condition for the existence of a finite horizon H∞predictor is derived. The solution to the H∞prediction is given in terms of solutions of Riccati and matrix differential equations. We further extend our study to give a necessary and sufficient condition for the H∞filtering of linear continuous-time systems with both instantaneous and delayed measurements.
Original languageEnglish
Pages (from-to)1253-1261
Number of pages9
Issue number7
Publication statusPublished - 1 Jul 2004


  • Continuous-time systems
  • Delayed systems
  • H prediction ∞
  • Innovation analysis
  • Riccati equations

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Electrical and Electronic Engineering

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