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An innovation approach to H fixed-lag smoothing for continuous time-varying systems

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4 Author(s)
Huanshui Zhang ; Shenzhen Graduate Sch., Harbin Inst. of Technol., Shenzhen, China ; Lihua Xie ; Wei Wang ; Xiao Lu

This note studies the finite horizon H fixed-lag smoothing problem for linear continuous time-varying systems. A technique named as reorganized innovation analysis in Krein space is developed to give a necessary and sufficient condition for the existence of an H fixed-lag smoother. The condition is given in terms of the boundedness of two matrix functions which are derived from the solutions of two Riccati differential equations (RDEs), one standard H filtering RDE and one H2 type of RDE. Examples demonstrate the proposed H fixed-lag smoother design and the fact that the existence of an H smoother does not depend on the solvability of H filtering.

Published in:

IEEE Transactions on Automatic Control  (Volume:49 ,  Issue: 12 )