HFixed-lag smoothing for discrete linear time-varying systems

Huanshui Zhang, Lihua Xie, Yeng Chai Soh, Dapeng Zhang

Research output: Journal article publicationJournal articleAcademic researchpeer-review

33 Citations (Scopus)

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 languageEnglish
Pages (from-to)839-846
Number of pages8
JournalAutomatica
Volume41
Issue number5
DOIs
Publication statusPublished - 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

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