Abstract:
We analyze the H2 performance of the fixed-lag smoothing problem when the measurement noise intensity is a function of the smoothing lag (preview window). We derive compu...Show MoreMetadata
Abstract:
We analyze the H2 performance of the fixed-lag smoothing problem when the measurement noise intensity is a function of the smoothing lag (preview window). We derive computable necessary and sufficient conditions on the rate of the measurement noise intensity growth as a function of the smoothing lag, under which minuscule preview improves the estimation performance. A sufficient condition in terms of the spectrum of the associated Kalman filter are also derived.
Published in: 2015 54th IEEE Conference on Decision and Control (CDC)
Date of Conference: 15-18 December 2015
Date Added to IEEE Xplore: 11 February 2016
ISBN Information: