International Journal of Control, Vol.73, No.15, 1382-1391, 2000
Existence and convergence of solutions to the H-infinity sampled-data estimation problem
The problem of H-infinity filtering for time-invariant linear systems with sampled measurements is considered. Sufficient and necessary conditions are derived that ensure the existence of a finite-horizon filter and the convergence of this filter to the infinite-horizon one. The convergence conditions are given in terms of allowable regions for the initial state error weighting matrix.