Discrete time H∞ control/estimation applied to the target tracking problem using a variation of parameters approach

Provides a complete derivation of the discrete time H_∞ controller and filter using a variation of parameters approach. We show that the H_∞ filter has a similar structure to the Kalman filter. These results are consistent with existing derivations under alternative techniques. Conditions, derived from the variational technique, which provide for filter existence are presented. As an example, the Kalman, H₂, and H_∞ filters are applied to the steady state target tracking problem where their performance is examined