On H 2 and H 1 Optimal Estimation
نویسنده
چکیده
We review some existing results on H2 and H1 estimation and explore possible connections between the optimal algorithms. For instance, in order to relate the H2 optimal Kalman lter to the H1 lters we show that, with special choices of the covariance matrices, the Kalman lter is H1 optimal. Moreover, by studying the matrix operator relating the estimation errors and the disturbances, we obtain simple and useful interpretations of both the H2 and the H1 results. Finally, an H1 error bound for the RLS algorithm is derived.
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