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On H2 and H Optimal Estimation
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1996 (English)Report (Other academic)
Abstract [en]

We review some existing results on H2 and H estimation and explore possible connections between the optimal algorithms For instance in order to relate the H2 optimal Kalman filter to the H lters we show that with special choices of the covariance matrices the Kalman lter is H optimal Moreover by studying the matrix operator relating the estimation errors and the disturbances we obtain simple and useful in terpretations of both the H2 and the H results Finally an H error bound for the RLS algorithm is derived.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 1996. , 24 p.
LiTH-ISY-R, ISSN 1400-3902 ; 1885
Keyword [en]
H2, H-infinity, Optimal estimation
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-55357ISRN: LiTH-ISY-R-1885OAI: diva2:316025
Available from: 2010-04-29 Created: 2010-04-29 Last updated: 2014-09-19

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Automatic ControlThe Institute of Technology
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