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|Title:||H[sub ∞] fixed-lag smoothing and prediction for linear continous-time systems|
Stochastic control systems
|Source:||Proceedings of the 2003 American Control Conference : June 4-6, 2003, Denver, Colorado, USA, v. 5, p. 4201-4206 How to cite?|
|Abstract:||This paper addresses the H[sub ∞] fixed-lag smoothing and prediction problems for linear continuous-time systems. We first present a solution to the optimal H₂ estimation problem for linear continuous-time systems with instantaneous and delayed measurements. It is then shown that the H[sub ∞] fixed-lag smoothing and prediction problems can be converted to the latter problem in Krein space. Therefore, the H₂ estimation is extended to give conditions on the existence of a H[sub ∞] fixed-lag smoother and predictor based on innovation analysis and projection in Krein space and a solution for H[sub ∞] smoother or predictor is given in terms of a Riccati differential equation and matrix differential equations.|
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