Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/19668
Title: An innovation approach to H∞ prediction for continuous-time systems with application to systems with delayed measurements
Authors: Zhang, H
Zhang, D 
Xie, L
Issue Date: 2004
Source: Automatica, 2004, v. 40, no. 7, p. 1253-1261
Abstract: This paper studies the problem of H∞ prediction for linear continuous-time systems. By developing a new method of characterizing the innovation process and applying a novel innovation analysis approach in Krein space, a necessary and sufficient condition for the existence of a finite horizon H∞ predictor is derived. The solution to the H ∞ prediction is given in terms of solutions of Riccati and matrix differential equations. We further extend our study to give a necessary and sufficient condition for the H∞ filtering of linear continuous-time systems with both instantaneous and delayed measurements.
Keywords: Continuous-time systems
Delayed systems
H∞ prediction
Innovation analysis
Riccati equations
Publisher: Pergamon Press
Journal: Automatica 
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2004.02.016
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