Title :
Properties of a continuous-time H∞ fixed-interval smoother
Author :
Einicke, Garry A.
Author_Institution :
Commonwealth Sci. & Ind. Res. Organ., Pullenvale
Abstract :
The minimum-variance fixed-interval smoother is a state-space realization of the Wiener solution generalized for time-varying problems. It involves forward and adjoint Wiener-Hopf factor inverses in which the gains are obtained by solving a Riccati equation. This paper investigates the properties of a continuous-time smoother that employs Hinfin gain matrices. It is shown that the smoother exhibits an increase in mean-square-error, the error is bounded, and the upper error bound is greater than that for the Hinfin filter.
Keywords :
Hinfin control; Kalman filters; Riccati equations; Wiener filters; continuous time filters; matrix algebra; mean square error methods; smoothing methods; state-space methods; time-varying systems; Hinfin gain matrix; Kalman filter; Riccati equation; Wiener-Hopf factor; continuous-time system; mean-square-error; minimum variance fixed-interval smoother; state-space realization; time-varying system; Filtering; Linear matrix inequalities; Nonlinear filters; Riccati equations; Smoothing methods; Stability; State estimation; USA Councils; Uncertain systems; Uncertainty; H∞ estimation; Kalman filtering; Smoothing; non-casual filtering;
Conference_Titel :
Decision and Control, 2007 46th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
978-1-4244-1497-0
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2007.4434412
