Mixed H-2/H-infinity filtering

被引:1
作者
Khargonekar, PP
Rotea, MA
Baeyens, E
机构
[1] PURDUE UNIV,SCH AERONAUT & ASTRONAUT,W LAFAYETTE,IN 47907
[2] UNIV VALLADOLID,DEPT SYST ENGN & AUTOMAT CONTROL,E-47011 VALLADOLID,SPAIN
关键词
H-infinity filtering; Kalman filtering; algebraic Riccatti equation; linear matrix inequalities;
D O I
暂无
中图分类号
TP [自动化技术、计算机技术];
学科分类号
0812 ;
摘要
In paper we consider the problem of finding a filter or estimator that minimizes a mixed H-2/H-infinity filtering cost on the transfer matrix from a given noise input to the filtering error subject to an H-infinity constraint on the transfer matrix from a second noise input to the filtering error, This problem can be interpreted and motivated in many different ways; for instance, as a problem of optimal filtering in the presence of noise with fixed and known spectral characteristics subject to a bound on the filtering error due to a second noise source whose spectral characteristics are unknown, It is shown that one can come arbitrarily close to the optimal mixed H-2/H-infinity filtering cost using a standard Kalman-Luenberger estimator. Moreover, the problem of finding suitable Kalman-Luenberger estimator gains can be converted into a convex optimization problem involving affine symmetric matrix inequalities.
引用
收藏
页码:313 / 330
页数:18
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