Krein space-based H∞ adaptive smoother design for a class of Lipschitz nonlinear discrete-time systems

In this paper, the problem of H∞ adaptive smoother design is addressed for a class of Lipschitz nonlinear discrete-time systems with l2 bounded disturbance input. By comprehensively analyzing the H∞ performance, Lipschitz conditions and unknown parameter’s bounded condition, a positive minimum problem for an indefinite quadratic form is introduced such that the H∞ adaptive smoothing problem is achieved. A Krein space stochastic system with multiple fictitious outputs is constructed by associating with the minimum problem of the introduced indefinite quadratic form. The minimum of indefinite quadratic form is derived in the form of innovations through utilizing Krein space orthogonal projection and innovation analysis approach. Via choosing the suitable fictitious outputs to guarantee the minimum of indefinite quadratic form is positive, the existence condition of the adaptive smoother and its analytical solutions are obtained in virtue of nonstandard Riccati difference equations. The quality of the estimator is checked on an example.