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An LMI approach to periodic discrete-time unbiased filtering. (English) Zbl 0985.93057

Summary: The problem of unbiased filtering for a discrete-time linear periodic system is considered by means of linear matrix inequality techniques. As a leading case, we derive the synthesis conditions to obtain an unbiased filter and an unbiased fixed-lag smoother enforcing a bound on the \(H_{\infty}\) performance of the error dynamics.

MSC:

93E11 Filtering in stochastic control theory
93C55 Discrete-time control/observation systems
15A39 Linear inequalities of matrices
93E14 Data smoothing in stochastic control theory

Software:

LMI toolbox
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Full Text: DOI

References:

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