LMIs in Control/pages/HInf Optimal Filter

Optimal filtering is a means of adaptive extraction of a weak desired signal in the presence of noise and interfering signals. The goal of optimal filtering is to design a filter that acts on the output $z$ of the generalized plant and optimizes the transfer matrix from w to the filtered output.

The System:

Consider the continuous-time generalized LTI plant with minimal states-space realization

{\begin{aligned}{\dot {x}}&=Ax+B_{1}w\\z&=C_{1}x+D_{11}w,\\y&=C_{2}x+D_{21}w,\end{aligned}}

where it is assumed that $A$ is Hurwitz.

The Data

The matrices needed as inputs are $A,B_{1},C_{2},C_{1},,D_{11},D_{21}$ .

The Optimization Problem:

An $H\infty$ -optimal filter is designed to minimize the $H_{\infty }$ norm of ${\tilde {P}}(s)$ in following equation.

{\begin{aligned}{\tilde {P}}(s)={\tilde {C}}_{1}(sI-{\tilde {A}})^{-}1{\tilde {B}}_{1}+{\tilde {D}}_{11},\\{\text{where}}\\{\tilde {A}}={\begin{bmatrix}A&&0\\B_{f}C_{2}&&A_{f}\end{bmatrix}}&<0\\{\tilde {B}}_{1}={\begin{bmatrix}B_{1}\\B_{f}D_{21}\end{bmatrix}}&<0\\{\tilde {C}}_{1}={\begin{bmatrix}C_{1}-D_{f}C_{2}-C_{f}\end{bmatrix}}&<0\\{\tilde {D}}_{11}=D_{11}-D_{f}D_{21}\\\end{aligned}}

The LMI: $H_{\infty }$ - Optimal filter

Solve for $A_{n}\in \mathbb {R} ^{n_{x}\times n_{x}},B_{n}\in \mathbb {R} ^{n_{x}\times n_{y}},C_{f}\in \mathbb {R} ^{n_{x}\times n_{x}}$ , $X,Y\in \mathbb {S} ^{n_{x}}$ and $\nu \in \mathbb {R} _{>0}$ that minimize $\zeta (\nu )=\nu$ subject to $X>0,Y>0$ .