Abstract
This paper deals with the H∞ filtering, prediction and smoothing problems for a discrete-time linear system. A frequency-domain J-spectral factorization approach is used. A constructive way to derive a J-spectral factor associated with the solution of each of the three problems is derived. The solution of the prediction and smoothing problems hinges on a suitable J-spectral factor for the filtering one and does not require any fictitious augmentation of the state space dimension.
| Original language | English |
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| Pages (from-to) | 2836-2842 |
| Number of pages | 7 |
| Journal | Proceedings of the IEEE Conference on Decision and Control |
| Volume | 3 |
| State | Published - 1998 |
| Externally published | Yes |
| Event | Proceedings of the 1998 37th IEEE Conference on Decision and Control (CDC) - Tampa, FL, USA Duration: 16 Dec 1998 → 18 Dec 1998 |