On the H∞ fixed-lag smoothing: how to exploit the information preview
The problem of the continuous-time H ∞ fixed-lag smoothing over the infinite horizon is studied. The first solution to the problem is derived in terms of one algebraic Riccati equation of the same dimension as in the filtering case and the mechanism by which the performance improvements with respect...
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Published in | Automatica (Oxford) Vol. 39; no. 8; pp. 1495 - 1504 |
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Main Author | |
Format | Journal Article |
Language | English |
Published |
Oxford
Elsevier Ltd
01.08.2003
Elsevier |
Subjects | |
Online Access | Get full text |
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Summary: | The problem of the continuous-time
H
∞ fixed-lag smoothing over the infinite horizon is studied. The first solution to the problem is derived in terms of
one algebraic Riccati equation of the same dimension as in the filtering case and the mechanism by which the performance improvements with respect to the
H
∞ filtering occur is clarified. It is shown that the
H
∞ smoother exploits the information preview in an “
H
2 manner”. |
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ISSN: | 0005-1098 1873-2836 |
DOI: | 10.1016/S0005-1098(03)00141-9 |