Continuous-time fixed-lag smoothing in an H/sup /spl infin// setting
作者： L. Mirkin
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摘要: In this paper, the effect of smoothing lag h on achievable performance level /spl gamma/ in continuous-time H/sup infin// fixed-lag is studied. It shown that gamma/, a sense, decays exponentially with and, moreover, decay ratio completely determined by dynamics corresponding Kalman filter, much like for 2/ smoothing, yet also there exists remarkable difference between and cases: whereas former case improves monotonically h, latter typically "saturates" after some finite lag, any further increase has no performance.
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