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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Bibliographic Details
Published inAutomatica (Oxford) Vol. 39; no. 8; pp. 1495 - 1504
Main Author Mirkin, Leonid
Format Journal Article
LanguageEnglish
Published Oxford Elsevier Ltd 01.08.2003
Elsevier
Subjects
Applied sciences
Computer science; control theory; systems
Control theory. Systems
Exact sciences and technology
Fixed-lag smoothing
H∞ estimation
J-spectral factorization
Miscellaneous
Modelling and identification
Riccati equation
J-spectral factorization
Riccati equation
H ∞ estimation
Fixed-lag smoothing
H infinite optimization
Spectral function
Filtering
Smoothing
Estimation
Continuous time
Infinite horizon
Factorization
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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”.
ISSN:0005-1098
1873-2836
DOI:10.1016/S0005-1098(03)00141-9