Solution of the H/sub infinity / optimal linear filtering problem for discrete-time systems
Michael John Grimble, Ah Sayed · IEEE Transactions on Acoustics Speech and Signal Processing · 1990
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.>