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Title: H[sub ∞] fixed-lag smoothing and prediction for linear continous-time systems
Authors: Zhang, H
Zhang, DD 
Xie, L
Issue Date: 2003
Source: Proceedings of the 2003 American Control Conference : June 4-6, 2003, Denver, Colorado, USA, v. 5, p. 4201-4206
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.
Keywords: Differential equations
Matrix algebra
Parameter estimation
Problem solving
Riccati equations
Stochastic control systems
Publisher: IEEE
ISBN: 0-7803-7896-2
Rights: © 2003 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.
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