H∞ White-noise Fixed-lag Smoothing for Discrete-time Systems

  title={H∞ White-noise Fixed-lag Smoothing for Discrete-time Systems},
  author={Xiao Lu and Huanshui Zhang and Wei Wang and Chenghui Zhang},
The paper deals with the finite horizon H∞ white noise smoothing problem for a linear time-varying discrete- time system. A new approach termed as re-organized innovation sequence is presented to derive the fixed-lag smoother. With the new approach, it is clearly shown that the central white noise smoother in an H∞ setting is the same as that in an H2 setting associated with one self-constructed stochastic state- space model. The solution to the H∞ white noise smoother is given in terms of… CONTINUE READING

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