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Explicit formulas for LMI-based \(H_2\) filtering and deconvolution. (English) Zbl 0988.93077
The paper studies an estimation method for a linear combination of the state and of the input of a time-invariant discrete-time linear system. The proposed technique is based on the solution of a set of linear matrix inequalities (LMI). Explicit formulas are provided for a suitable family of solutions to the LMI, and it is shown that a suboptimal estimator (in the sense of \(H_2\) performance) can be derived using such solutions.
Reviewer: G.Di Masi (Padova)

93E10 Estimation and detection in stochastic control theory
93E11 Filtering in stochastic control theory
60G35 Signal detection and filtering (aspects of stochastic processes)
LMI toolbox
Full Text: DOI
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