H/spl infin/ White-noise Fixed-lag Smoothing for Discrete-time Systems

Abstract

The paper deals with the finite horizon Hinfin white noise smoothing problem for a linear time-varying discrete-time system. A new approach termed as re-organized innovation sequence is presented to derive the fixed-lag smoother. With the new approach, it is clearly shown that the central white noise smoother in an Hinfin setting is the same as that in an H2 setting associated with one self-constructed stochastic state-space model. The solution to the H infin white noise smoother is given in terms of solutions to Riccati equations with the same order as the original system