Feasibility and convergence analysis of discrete-time H/sub /spl infin// a priori filters

The performance and convergence analysis of discrete-time H/sub /spl infin// a priori filters is addressed in this paper. We deal with a more general term of Riccati equations arising from standard discrete-time H/sub /spl infin// a priori filters than the existing results of Bolzern et al. (1999). A sufficient condition for feasibility and convergence of H/sub /spl infin// a priori filters is given in terms of certain matrix inequality of initial condition.