On H2 and H∞ Optimal Estimation
1996 (English)Report (Other academic)
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
H2, H-infinity, Optimal estimation
IdentifiersURN: urn:nbn:se:liu:diva-55357ISRN: LiTH-ISY-R-1885OAI: oai:DiVA.org:liu-55357DiVA: diva2:316025