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Fast J-Unitary Array Form of the Hyper H∞ Filter
IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences
Publication Date: 2005/11/01
Print ISSN: 0916-8508
Type of Manuscript: PAPER
Category: Digital Signal Processing
H∞ filter, fast algorithm, J-unitary transformation, Kalman filter, system identification,
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In our previous work, the hyper H∞ filter is developed for tracking of unknown time-varying systems. Additionally, a fast algorithm, called the fast H∞ filter, of the hyper H∞ filter is derived on condition that the observation matrix has a shifting property. This algorithm has a computational complexity of O(N) where N is the dimension of the state vector. However, there still remains a possibility of deriving alternative forms of the hyper H∞ filter. In this work, a fast J-unitary form of the hyper H∞ filter is derived, providing a new H∞ fast algorithm, called the J-fast H∞ filter. The J-fast H∞ filter possesses a computational complexity of O(N), and the resulting algorithm is very amenable to parallel processing. The validity and performance of the derived algorithm are confirmed by computer simulations.