Welcome to the new version of CaltechAUTHORS. Login is currently restricted to library staff. If you notice any issues, please email coda@library.caltech.edu
Published December 1994 | Published
Book Section - Chapter Open

Square-root arrays and Chandrasekhar recursions for H∞ problems


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.

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.

Attached Files

Published - 00411487.pdf


Files (462.6 kB)
Name Size Download all
462.6 kB Preview Download

Additional details

August 20, 2023
March 5, 2024