Anisotropy-based performance analysis of linear discrete time invariant control systems

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\(H_{2}\)-optimal controllers perform badly when the input disturbance is a strongly colored noise, and \(H_{\infty}\)-optimal controllers do not work when the input disturbance is white or weakly coloured. Here an approach is proposed to fill in this gap, and the technique is based on the notions of mean anisotropy of stationary Gaussian sequences and anisotropy norm of linear discrete time-invariant systems. A Szegő-Kolmogorov type formula and frequency-domain as well as state-space formulas are derived. Comparison with \(H_{2}\) and \(H_{\infty}\) is provided. The key of the approach is that the anisotropic norm falls between the \(H_{2}\) and the \(H_{\infty}\) norm.




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