Abstract
This paper is concerned with the finite horizon H∞ fixed-lag smoothing problem for discrete linear time-varying systems. The existence of an H∞ smoother is first related to certain inertia condition of an innovation matrix. The innovation matrix is traditionally computed via a Riccati difference equation (RDE) associated with the H∞ filtering of an augmented system which is computationally expensive. To avoid solving the RDE of high dimension, we introduce a re-organized innovation and apply innovation analysis and projection theory in Krein space to give a simple method of computing the innovation matrix. The H∞ smoother is computed as a projection in Krein space by performing two RDEs of the same dimension as that of the original system.
Original language | English |
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Pages (from-to) | 839-846 |
Number of pages | 8 |
Journal | Automatica |
Volume | 41 |
Issue number | 5 |
DOIs | |
Publication status | Published - 1 May 2005 |
Keywords
- Fixed-lag smoothing
- H estimation ∞
- Innovation
- Projection
- Riccati difference equation
ASJC Scopus subject areas
- Control and Systems Engineering
- Electrical and Electronic Engineering