Sampled-data L-infinity smoothing: fixed-size ARE solution with free hold function

Gjerrit Meinsma, Leonid Mirkin

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    Abstract

    The problem of estimating an analog signal from its noisy sampled measurements is studied in the L-infinity (induced L2-norm) framework. The main emphasis is placed on relaxing causality requirements. Namely, it is assumed that l future measurements are available to the estimator, which corresponds to the fixed-lag smoothing formulation. A closed-form solution to the problem is derived. The solution has the complexity of O(l) and is based on two discrete algebraic Riccati equations, whose size does not depend on the smoothing lag l.
    Original languageUndefined
    Title of host publicationProceedings of the 20th International Symposium on Mathematical Theory of Networks and Systems, MTNS 2012
    Place of PublicationMelbourne
    PublisherThink Business Events
    Pages180
    Number of pages8
    ISBN (Print)978-0-646-58062-3
    Publication statusPublished - Jul 2012
    Event20th International Symposium on Mathematical Theory of Networks and Systems, MTNS 2012 - Melbourne, Australia
    Duration: 9 Jul 201213 Jul 2012
    Conference number: 20

    Publication series

    Name
    PublisherThink Business Events

    Conference

    Conference20th International Symposium on Mathematical Theory of Networks and Systems, MTNS 2012
    Abbreviated titleMTNS
    CountryAustralia
    CityMelbourne
    Period9/07/1213/07/12

    Keywords

    • EWI-22850
    • Fixed-lag smoothing
    • Generalized hold functions
    • IR-83491
    • L-infinity optimization
    • Signal reconstruction
    • METIS-296203
    • Sampled-data systems

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