Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/24742
Title: H∞ Fixed-lag smoothing for discrete linear time-varying systems
Authors: Zhang, H
Xie, L
Soh, YC
Zhang, D 
Keywords: Fixed-lag smoothing
H∞ estimation
Innovation
Projection
Riccati difference equation
Issue Date: 2005
Publisher: Pergamon Press
Source: Automatica, 2005, v. 41, no. 5, p. 839-846 How to cite?
Journal: Automatica 
Abstract: This paper is concerned with the finite horizon H∞ fixed-lag smoothing problem for discrete linear time-varying systems. The existence of an H∞ smoother is first related to certain inertia condition of an innovation matrix. The innovation matrix is traditionally computed via a Riccati difference equation (RDE) associated with the H∞ filtering of an augmented system which is computationally expensive. To avoid solving the RDE of high dimension, we introduce a re-organized innovation and apply innovation analysis and projection theory in Krein space to give a simple method of computing the innovation matrix. The H∞ smoother is computed as a projection in Krein space by performing two RDEs of the same dimension as that of the original system.
URI: http://hdl.handle.net/10397/24742
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2004.11.028
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