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Title: H Infinity Fixed-lag Smoothing for Linear Time-varying Discrete Time Systems
Authors: Zhang, H
Xie, L
Zhang, D 
Soh, YC
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.
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2004.11.028
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