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$H\sb 2/H\sb \infty$ filtering theory and an aerospace application. (English) Zbl 0855.93084
State estimation of dynamic systems in the presence of process noise is studied. Noise inputs are supposed to be a combination of two types: noises with known spectral characteristics and noises with unknown spectral characteristics. In the paper, a new theory which solves the mixed $H_2/H_\infty$ filtering problem exactly is presented. The applicability of the theory is illustated by designing a filter to estimate the states of an aircraft flying through a downburst.

MSC:
93E11Filtering in stochastic control
93B36$H^\infty$-control
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