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The paper discusses relationships between the H∞ preview control and the standard H∞ control, between the H∞ fixed-lag smoothing and the H∞ filtering. It is easy to understand intuitively that the H∞ preview control problem is inevitably solvable if the standard H∞ control problem for the identical system is solvable and that the H∞ fixed-lag smoothing problem is solvable as the H∞ filtering problem...
The paper deals with the Kalman filtering problem for linear discrete-time systems with parametric uncertainty of multiplicative noise in both instantaneous and delayed measurements. Although the problem may be addressed by applying an existing Kalman filtering technique to an augmented system, the computation of the Kalman filter could be demanding. To improve the efficiency of computation, we propose...
This paper is concerned with the finite horizon H∞ fixed-lag smoothing problem for discrete linear time-varying systems. The existence of an H∞ smoother is first related to certain inertia condition of an innovation matrix. The innovation matrix is traditionally computed via a Riccati difference equation (RDE) associated with the H∞ filtering of an augmented system which is computationally expensive...
In this paper, a new approach to H-infinity fixed-lag smoothing is developed by applying the innovation analysis theory. The smoother is derived by resorting to the augmentation state. However, being completely different from the previous work, the augmented state here is considered as just a theoretical mathematical tool for deriving the estimator. A distributed algorithm for the Riccati equation...
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