Solution of the H/sub infinity / optimal linear filtering problem for discrete-time systems

The solution of l/sub 2/ (minimum variance) and H/sub infinity / estimation problems is considered using a polynomial systems approach. The results for the l/sub 2/ filtering problem, which corresponds with Wiener or Kalman filtering/prediction, are first presented in polynomial matrix form. Attenti...

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Bibliographic Details
Published in:IEEE transactions on acoustics, speech, and signal processing speech, and signal processing, 1990-07, Vol.38 (7), p.1092-1104
Main Authors: Grimble, M.J., El Sayed, A.
Format: Article
Language:English
Subjects:
Equations
Estimation error
Filtering
Frequency estimation
H infinity control
Kalman filters
Maximum likelihood detection
Nonlinear filters
Polynomials
Wiener filter
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Summary:The solution of l/sub 2/ (minimum variance) and H/sub infinity / estimation problems is considered using a polynomial systems approach. The results for the l/sub 2/ filtering problem, which corresponds with Wiener or Kalman filtering/prediction, are first presented in polynomial matrix form. Attention then turns to the solution of the H/sub infinity / estimation problem for scalar systems. Numerous examples are presented to illustrate the computational procedures. The two types of estimator are appropriate to very different estimation problems and the new H/sub infinity / devices should be valuable in certain application areas.< >
ISSN:0096-3518
DOI:10.1109/29.57538