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A Solution to the Continuous-Time {\rm H}_{\infty } Fixed-Interval Smoother Problem

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1 Author(s)
Garry A. Einicke ; Commonwealth Sci. & Ind. Res. Organ. (CSIRO), Pullenvale, QLD, Australia

The minimum-variance fixed-interval smoother is a state-space realization of the Wiener solution generalized for time-varying problems. It involves forward and adjoint Wiener-Hopf factor inverses in which the gains are obtained by solving a Riccati equation. This technical note introduces a continuous-time H smoother having the structure of the minimum-variance version, in which the gains are obtained by solving a Riccati equation that possesses an indefinite quadratic term. It is shown that the smoother exhibits an increase in mean-square-error, the error is bounded, and the upper error bound is greater than that for the H filter.

Published in:

IEEE Transactions on Automatic Control  (Volume:54 ,  Issue: 12 )