On H/sub /spl infin///H/sub 2/ filtering: stability and performance limits

Considers the H/sub /spl infin//, H/sub 2/ and Kalman continuous and discrete time, scalar linear filtering problems. We consider stability and performance issues and derive exact filtering performance limit expressions. A significant change in the H/sub /spl infin// and bounded limit expressions occur when the system being filtered becomes unstable. Transient solutions are developed for continuous filter design. Examples of the stability, performance and design issues are presented.