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H/sub /spl infin// fixed-lag smoothing and prediction for linear continous-time systems | IEEE Conference Publication | IEEE Xplore

H/sub /spl infin// fixed-lag smoothing and prediction for linear continous-time systems


Abstract:

This paper addresses the H/sub /spl infin// fixed-lag smoothing and prediction problems for linear continuous-time systems. We first present a solution to the optimal H/s...Show More

Abstract:

This paper addresses the H/sub /spl infin// fixed-lag smoothing and prediction problems for linear continuous-time systems. We first present a solution to the optimal H/sub 2/ estimation problem for linear continuous-time systems with instantaneous and delayed measurements. It is then shown that the H/sub /spl infin// fixed-lag smoothing and prediction problems can be converted to the latter problem in Krein space. Therefore, the H/sub 2/ estimation is extended to give conditions on the existence of H/sub /spl infin// fixed-lag smoother and predictor based on innovation analysis and projection in Krein space and a solution for H/spl infin/ smoother or predictor is given in terms of a Riccati differential equation and matrix differential equations.
Date of Conference: 04-06 June 2003
Date Added to IEEE Xplore: 03 November 2003
Print ISBN:0-7803-7896-2
Print ISSN: 0743-1619
Conference Location: Denver, CO, USA

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