Article ID Journal Published Year Pages File Type
564928 Signal Processing 2007 9 Pages PDF
Abstract

The paper is to investigate the white noise fixed-lag smoothing problem in an H∞H∞ setting for continuous-time systems. Although H2H2 white noise fixed-lag smoothing and filtering have been well studied, the white noise smoothing under H∞H∞ index remains difficult since the latter is equivalent to a time delay problem. Actually, by introducing a Krein-space state space model, it will be shown that the H∞H∞ white noise central smoother is an H2H2 fixed-lag smoothing with delayed measurements. To overcome the time delay, the re-organized innovation analysis approach is adopted in this paper. The derived fixed-lag smoother is given in terms of two differential Riccati equations (DREs) with the same order as that of the original system.

Related Topics
Physical Sciences and Engineering Computer Science Signal Processing
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