New conditions for the convergence of H/sub ∞/ filters and predictors
The finite-horizon H sub( infinity ) filtering and prediction problems in the discrete-time case admit solutions only if a suitable difference Riccati equation is solved by a matrix sequence satisfying "feasibility" conditions. In this work, sufficient conditions ensuring the existence of...
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| Veröffentlicht in: | IEEE transactions on automatic control 1999-01, Vol.44 (8), p.1564-1568 |
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| container_title | IEEE transactions on automatic control |
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| creator | Bolzern, P. Maroni, M. |
| description | The finite-horizon H sub( infinity ) filtering and prediction problems in the discrete-time case admit solutions only if a suitable difference Riccati equation is solved by a matrix sequence satisfying "feasibility" conditions. In this work, sufficient conditions ensuring the existence of filters and predictors over an arbitrarily long time interval are derived. Moreover, it is shown that, under these conditions, finite horizon estimators tend to stable stationary ones as the time horizon increases |
| doi_str_mv | 10.1109/9.780422 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0018-9286 |
| ispartof | IEEE transactions on automatic control, 1999-01, Vol.44 (8), p.1564-1568 |
| issn | 0018-9286 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_919918256 |
| source | IEEE Electronic Library (IEL) |
| subjects | Convergence Estimators Feasibility Filtering Filtration Horizon Mathematical analysis Riccati equation |
| title | New conditions for the convergence of H/sub ∞/ filters and predictors |
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