Finite-horizon H∞H∞ fault estimation for linear discrete time-varying systems with delayed measurements

In this paper, the finite-horizon H∞H∞ fault estimation problem is addressed for a class of linear discrete time-varying systems with both instantaneous and delayed measurements. By using the reorganized innovation approach, the considered measurements are reorganized into a tractable form, based on which we introduce an associated stochastic system in a Krein space. Then, by applying the innovation analysis and projection theory in the Krein space, a necessary and sufficient condition for the existence of the finite-horizon H∞H∞ fault estimator is obtained. Subsequently, a fault estimator is designed to achieve the specified H∞H∞ performance criterion in terms of the solution to a set of Riccati difference equations. Finally, a simulation example is employed to show the effectiveness of the proposed fault estimation approach.