On the Multi-Channel H-Infinity Fixed-Lag Smoothing

摘要

The problem of the infinite-horizon continuous-time H~(infinity) fixed-lag smoothing with different smoothing lags in different output channels is studied. The solution of the problem is derived in terms of one algebraic Riccati equation of the same dimension as in the filtering case. The derived solvability conditions suggest a method for the analysis of the effects of smoothing lags on the achievable performance.