화학공학소재연구정보센터
IEEE Transactions on Automatic Control, Vol.54, No.12, 2904-2908, 2009
A Solution to the Continuous-Time H-infinity Fixed-Interval Smoother Problem
The minimum-variance fixed-interval smoother is a state-space realization of the Wiener solution generalized for time-varying problems. It involves forward and adjoint Wiener-Hopf factor inverses in which the gains are obtained by solving a Riccati equation. This technical note introduces a continuous-time smoother having the structure of the minimum-variance version, in which the gains are obtained by solving a Riccati equation that possesses an indefinite quadratic term. It is shown that the smoother exhibits an increase in mean-square-error, the error is bounded, and the upper error bound is greater than that for the filter.