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Solution of the H optimal linear filtering problem for discrete-time systems

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2 Author(s)
Grimble, M.J. ; Dept. of Electron. & Electr. Eng., Strathclyde Univ., Glasgow, UK ; El Sayed, A.

The solution of l2 (minimum variance) and H estimation problems is considered using a polynomial systems approach. The results for the l2 filtering problem, which corresponds with Wiener or Kalman filtering/prediction, are first presented in polynomial matrix form. Attention then turns to the solution of the H estimation problem for scalar systems. Numerous examples are presented to illustrate the computational procedures. The two types of estimator are appropriate to very different estimation problems and the new H devices should be valuable in certain application areas

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Acoustics, Speech and Signal Processing, IEEE Transactions on  (Volume:38 ,  Issue: 7 )