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Square-root arrays and Chandrasekhar recursions for H∞ problems

Hassibi, Babak and Sayed, Ali H. and Kailath, Thomas (1994) Square-root arrays and Chandrasekhar recursions for H∞ problems. In: Proceedings of the 33rd IEEE Conference on Decision and Control, 1994. Vol.3. IEEE , Piscataway, NJ, pp. 2237-2242. ISBN 0-7803-1968-0. https://resolver.caltech.edu/CaltechAUTHORS:20150219-071844925

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Abstract

Using their previous observation that H∞ filtering coincides with Kalman filtering in Krein space the authors develop square-root arrays and Chandrasekhar recursions for H∞ filtering problems. The H∞ square-root algorithms involve propagating the indefinite square-root of the quantities of interest and have the property that the appropriate inertia of these quantities is preserved. For systems that are constant, or whose time-variation is structured in a certain way, the Chandrasekhar recursions allow a reduction in the computational effort per iteration from O(n^3) to O(n^2), where n is the number of states. The H∞ square-root and Chandrasekhar recursions both have the interesting feature that one does not need to explicitly check for the positivity conditions required of the H∞ filters. These conditions are built into the algorithms themselves so that an H∞ estimator of the desired level exists if, and only if, the algorithms can be executed.


Item Type:Book Section
Related URLs:
URLURL TypeDescription
http://dx.doi.org/10.1109/CDC.1994.411487DOIArticle
http://ieeexplore.ieee.org/xpl/articleDetails.jsp?arnumber=411487PublisherArticle
Additional Information:© 1994 IEEE. This research was supported by the Advanced Research Projects Agency of the Department of Defense monitored by the Air Force Office of Scientific Research under Contract F49620-93-1-0085.
Funders:
Funding AgencyGrant Number
Air Force Office of Scientific Research (AFOSR)F49620-93-1-0085
Advanced Research Projects Agency (ARPA)UNSPECIFIED
Record Number:CaltechAUTHORS:20150219-071844925
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20150219-071844925
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:54972
Collection:CaltechAUTHORS
Deposited By: Shirley Slattery
Deposited On:26 Feb 2015 22:54
Last Modified:03 Oct 2019 08:02

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