H^∞滤波的广义平方根算法

The Generalized Square-root Algorithm for H∞ Filter

研究H∞广义平方根滤波。引入非定矩阵的广义平方根分解,给出了使矩阵三角化的双曲变换矩阵的存在性判别及其求取方法,从而使H∞滤波的存在性判别以及H∞广义平方根滤波的算法得以实现。

We study the square-root algorithm for H~∞ filter by introducing the generalized square-root factorization for indefinite matrices. A method to calculate the hyperbolic transformations for triangularizing a given matrix, including the testing of its existence condition, is proposed. The H~∞ generalized square-root filter can thereby be algorithmically realized.