The H infinity fixed-interval smoothing problem for continuous systems

Eric Blanco (1) , Philippe Neveux (2) , Gérard Thomas (1)

1 CEGELY - Centre de génie électrique de Lyon
2 CSE - Unité Climat, Sol et Environnement

The H-infinity smoothing problem for continuous systems is treated in a state space representation by means of variational calculus techniques. The smoothing problem is introduced in an H. criterion by means of an artificial discontinuity that splits the problem in term of H-infinity forward and H-infinity backward filtering problems. Hence, the smoother design is realized in three steps. First, a forward filter is developed. Secondly, a backward filter is developed taking into account the backward Markovian model. The third step consists of combining the two previous steps in order to compute the H-infinity smoothed estimate. An example shows the efficiency of this proposed smoother.

Mots clés: STATE ESTIMATION; smoothing; variational calculus; H infinity criterion; Markovian model; robust estimation; signal processing; FILTER; MODELS

Domaines: Energie électrique

Eric Blanco, Philippe Neveux, Gérard Thomas. The H infinity fixed-interval smoothing problem for continuous systems. IEEE Transactions on Signal Processing, 2006, 54 (11), pp.4085-4090. ⟨10.1109/TSP.2006.881237⟩. ⟨hal-00140821⟩