Title :
ℋ∞ estimation problems in discrete-time via J-spectral factorization
Author :
Colaneri, Patrizio ; Ferrante, Augusto
Author_Institution :
Dipt. di Elettronica e Inf., Politecnico di Milano, Italy
Abstract :
In this paper, the ℋ∞ estimation problem for discrete-time linear time-invariant systems is considered. We propose a new technique based on J-spectral factorization. It allows one to treat filtering, prediction and smoothing problems in a unifying framework and does not require the assumption of system stability. The main advantage of the proposed technique is that, for smoothing and prediction problems, the state-space dimension, and hence the complexity of the method, is the same as for the filtering problem
Keywords :
H∞ optimisation; Riccati equations; computational complexity; discrete time filters; filtering theory; linear systems; matrix decomposition; parameter estimation; prediction theory; state-space methods; H∞ estimation problem; J-spectral factorization; Riccati equations; complexity; discrete-time linear time-invariant systems; filtering problems; prediction problems; smoothing problems; state-space dimension; system stability; Attenuation; Delay estimation; Estimation error; Filtering; Riccati equations; Smoothing methods; State estimation; Sun; Transfer functions; Vectors;
Conference_Titel :
Decision and Control, 2001. Proceedings of the 40th IEEE Conference on
Conference_Location :
Orlando, FL
Print_ISBN :
0-7803-7061-9
DOI :
10.1109/.2001.980401
