White noise H∞ fixed-lag smoothing for continuous time systems

Authors:
Huanshui Zhang;Gang Feng;Xiao Lu
Affiliations:
School of Control Science and Engineering, Shandong University, Jingshi Road, 73, Jinan 250061, PR China;Department of Manufacturing Engineering and Engineering Management, The City University of Hong Kong, Hong Kong;The Center for Information and Control, Dalian University of Technology, Dalian, PR China and School of Control Science and Engineering, Shandong University, Jingshi Road, 73, Jinan 250061, PR Chi ...
Venue:
Signal Processing
Year:
2007

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Abstract

The paper is to investigate the white noise fixed-lag smoothing problem in an H"~ setting for continuous-time systems. Although H"2 white noise fixed-lag smoothing and filtering have been well studied, the white noise smoothing under H"~ index remains difficult since the latter is equivalent to a time delay problem. Actually, by introducing a Krein-space state space model, it will be shown that the H"~ white noise central smoother is an H"2 fixed-lag smoothing with delayed measurements. To overcome the time delay, the re-organized innovation analysis approach is adopted in this paper. The derived fixed-lag smoother is given in terms of two differential Riccati equations (DREs) with the same order as that of the original system.