Necessary and sufficient condition for finite horizon H/sub /spl infin// estimation of time delay systems
This paper is concerned with the problems of finite horizon H/sub /spl infin// filtering, prediction and fixed-lag smoothing for linear continuous-time systems with multiple delays. By applying an innovation approach in Krein space, a necessary and sufficient condition for the existence of an H/sub /spl infin// filter, predictor or smoother is derived. The estimator is given in terms of the solution of a partial differential equation with boundary conditions. The innovation approach in Krein space enables us to convert the very complicated deterministic estimation problem into a stochastic one to which a simple H/sub 2/ innovation analysis method can be adapted. The result of this paper demonstrates that the Krein space approach is powerful in solving otherwise very complicated H/sub /spl infin// problems. Our result is in contrast with many recent sufficient conditions for H/sub /spl infin// filtering of delay systems.