Analysis, design, and performance limitations of H2 optimal filtering in the presence of an additional input with known frequency

Ali Saberi, Antonie Arij Stoorvogel, Peddapullaiah Sannuti

Research output: Contribution to conference › Paper › Academic › peer-review

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Abstract

The standard $H_2$ 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 $H_2$ 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 $H_2$ optimal filtering problem is formulated here. As in the standard $H_2$ optimal filtering problem, the generalized $H_2$ optimal filtering problem seeks to find a linear stable unbiased filter (called the generalized $H_2$ optimal filter) that estimates a desired output while utilizing the measured output such that the $H_2$ norm of the transfer matrix from the white noise input to the estimation error is minimized. The analysis, design, and performance limitations of generalized $H_2$ optimal filters are presented here.
Original languageUndefined
Pages3454-3459
Number of pages6
Publication statusPublished - 2004
Event2004 American Control Conference, ACC 2004 - Boston, United States
Duration: 30 Jun 2004 → 2 Jul 2004

Conference

Conference2004 American Control Conference, ACC 2004
Abbreviated titleACC
CountryUnited States
CityBoston
Period30/06/04 → 2/07/04

Keywords

  • IR-69070
  • EWI-16655

Cite this

Saberi, A., Stoorvogel, A. A., & Sannuti, P. (2004). Analysis, design, and performance limitations of H2 optimal filtering in the presence of an additional input with known frequency. 3454-3459. Paper presented at 2004 American Control Conference, ACC 2004, Boston, United States.
Saberi, Ali ; Stoorvogel, Antonie Arij ; Sannuti, Peddapullaiah. / Analysis, design, and performance limitations of H2 optimal filtering in the presence of an additional input with known frequency. Paper presented at 2004 American Control Conference, ACC 2004, Boston, United States.6 p.
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abstract = "The standard $H_2$ 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 $H_2$ 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 $H_2$ optimal filtering problem is formulated here. As in the standard $H_2$ optimal filtering problem, the generalized $H_2$ optimal filtering problem seeks to find a linear stable unbiased filter (called the generalized $H_2$ optimal filter) that estimates a desired output while utilizing the measured output such that the $H_2$ norm of the transfer matrix from the white noise input to the estimation error is minimized. The analysis, design, and performance limitations of generalized $H_2$ optimal filters are presented here.",
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author = "Ali Saberi and Stoorvogel, {Antonie Arij} and Peddapullaiah Sannuti",
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note = "null ; Conference date: 30-06-2004 Through 02-07-2004",

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Saberi, A, Stoorvogel, AA & Sannuti, P 2004, 'Analysis, design, and performance limitations of H2 optimal filtering in the presence of an additional input with known frequency' Paper presented at 2004 American Control Conference, ACC 2004, Boston, United States, 30/06/04 - 2/07/04, pp. 3454-3459.

Analysis, design, and performance limitations of H2 optimal filtering in the presence of an additional input with known frequency. / Saberi, Ali; Stoorvogel, Antonie Arij; Sannuti, Peddapullaiah.

2004. 3454-3459 Paper presented at 2004 American Control Conference, ACC 2004, Boston, United States.

Research output: Contribution to conference › Paper › Academic › peer-review

TY - CONF

T1 - Analysis, design, and performance limitations of H2 optimal filtering in the presence of an additional input with known frequency

AU - Saberi, Ali

AU - Stoorvogel, Antonie Arij

AU - Sannuti, Peddapullaiah

PY - 2004

Y1 - 2004

N2 - The standard $H_2$ 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 $H_2$ 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 $H_2$ optimal filtering problem is formulated here. As in the standard $H_2$ optimal filtering problem, the generalized $H_2$ optimal filtering problem seeks to find a linear stable unbiased filter (called the generalized $H_2$ optimal filter) that estimates a desired output while utilizing the measured output such that the $H_2$ norm of the transfer matrix from the white noise input to the estimation error is minimized. The analysis, design, and performance limitations of generalized $H_2$ optimal filters are presented here.

AB - The standard $H_2$ 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 $H_2$ 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 $H_2$ optimal filtering problem is formulated here. As in the standard $H_2$ optimal filtering problem, the generalized $H_2$ optimal filtering problem seeks to find a linear stable unbiased filter (called the generalized $H_2$ optimal filter) that estimates a desired output while utilizing the measured output such that the $H_2$ norm of the transfer matrix from the white noise input to the estimation error is minimized. The analysis, design, and performance limitations of generalized $H_2$ optimal filters are presented here.

KW - IR-69070

KW - EWI-16655

M3 - Paper

SP - 3454

EP - 3459

ER -

Saberi A, Stoorvogel AA, Sannuti P. Analysis, design, and performance limitations of H2 optimal filtering in the presence of an additional input with known frequency. 2004. Paper presented at 2004 American Control Conference, ACC 2004, Boston, United States.

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