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Error Analysis and Numerical Stabilization of the Fast H∞ Filter
Tomonori KATSUMATA Kiyoshi NISHIYAMA Katsuaki SATOH
IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences
Publication Date: 2010/06/01
Online ISSN: 1745-1337
Print ISSN: 0916-8508
Type of Manuscript: PAPER
Category: Digital Signal Processing
fast H∞ filter, error analysis, numerical stabilization, system identification,
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The fast H∞ filter is developed by one of the authors, and its practical use in industries is expected. This paper derives a linear propagation model of numerical errors in the recursive variables of the fast H∞ filter, and then theoretically analyzes the stability of the filter. Based on the analyzed results, a numerical stabilization method of the fast H∞ filter is proposed with the error feedback control in the backward prediction. Also, the effectiveness of the stabilization method is verified using numerical examples.