Analysis, design, and performance limitations of H/sub2/ optimal filtering in the presence of an additional input with known frequency

A. Saberi, A.A. Stoorvogel, P. Sannuti

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

1 Citation (Scopus)

Abstract

The standard H/sub 2/ optimal filtering problem considers the estimation of a certain output based on the measured output when the input is a zero mean white noise stochastic process of known intensity. In this paper, the inputs are considered to be of two types. The first type of input, as in standard H/sub 2/ optimal filtering, is a zero mean wide sense stationary white noise, while the second type is a linear combination of sinusoidal signals each of which has an unknown amplitude and phase but known frequency. Under such inputs, a generalized H/sub 2/ optimal filtering problem is formulated here. As in the standard H/sub 2/ optimal filtering problem, the generalized H/sub 2/ optimal filtering problem seeks to find a linear stable unbiased filter (called the generalized H/sub 2/ optimal filter) that estimates a desired output while utilizing the measured output such that the H/sub 2/ norm of the transfer matrix from the white noise input to the estimation error is minimized. The analysis, design, and performance limitations of generalized H/sub 2/ optimal filters are presented here.
Original languageEnglish
Title of host publicationProceedings 2004 American Control Conference, Boston MA, USA, June 30-July 2, 2004
Place of PublicationPiscataway NJ, USA
PublisherInstitute of Electrical and Electronics Engineers
Pages3454-3459
Publication statusPublished - 2004

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