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

Ali Saberi, Anton A. Stoorvogel, Peddapullaiah Sannuti

    Research output: Contribution to conferencePaper

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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 languageEnglish
    Pages3454-3459
    Number of pages6
    DOIs
    Publication statusPublished - 2004
    Event2004 American Control Conference, ACC 2004 - Boston, United States
    Duration: 30 Jun 20042 Jul 2004

    Conference

    Conference2004 American Control Conference, ACC 2004
    Abbreviated titleACC
    CountryUnited States
    CityBoston
    Period30/06/042/07/04

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