On the \(H^{\infty}\) fixed-lag smoothing: How to exploit the information preview. (Q1410382): Difference between revisions
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Revision as of 03:15, 5 March 2024
scientific article
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| English | On the \(H^{\infty}\) fixed-lag smoothing: How to exploit the information preview. |
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On the \(H^{\infty}\) fixed-lag smoothing: How to exploit the information preview. (English)
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14 October 2003
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The problem is to estimate a linear combination of the system state at time \(t\) given measurements up to time \(t+h\) for some ``smoothing lag'' \(h>0\). The solution procedure, involving one algebraic Riccati equation of the same dimension as in the filtering case, is based on the reduction of the associated infinite-dimensional J-spectral factorization problem to an equivalent finite-dimensional one. A numerical example is given.
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\(H^\infty\) estimation
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fixed-lag smoothing
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\(J\)-spectral factorization
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Riccati equation
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