Automatica, Vol.45, No.7, 1743-1748, 2009
H-infinity filtering for rectangular discrete-time descriptor systems
This paper deals with the H-infinity recursive estimation problem for general rectangular time-variant descriptor systems in discrete time. Riccati-equation based recursions for filtered and predicted estimates are developed based on a data fitting approach and game theory. In this approach, the nature determines a state sequence seeking to maximize the estimation cost, whereas the estimator tries to find an estimate that brings the estimation cost to a minimum. A solution exists for a specified gamma-level if the resulting cost is positive. In order to present some computational alternatives to the H-infinity filters developed, they are rewritten in information form along with the respective array algorithms. (C) 2009 Elsevier Ltd. All rights reserved.