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Eigenvalue problems of linear Hamiltonian systems arising from H-infinity filtering
Wu, Z. G.; Gao, Q.
AbstractFrom the viewpoint of differential eigenvalue problem of Hamiltonian system, a linear finite-time H-infinity filtering problem can be addressed by computing eigenvalue and solving Riccati differential equation of an associated linear Hamiltonian system. This paper shows how a problem of determining the minimum induced norm of the H-infinity filter is formulated as a Hamiltonian differential eigenvalue problem. The H-infinity filters concerned here include central filter, perturbed filter and decentralised filter. The methods presented in the paper are based on characteristics of eigensolution of the corresponding Hamiltonian system and Riccati differential equation. With eigensolution of the Hamiltonian system arising from the central H-infinity filtering problem, variational methods are proposed to compute eigenvalues of perturbed Hamiltonian systems and large-scale Hamiltonian systems derived from perturbed H-infinity filters and decentralised H-infinity filters, respectively. Then, eigenvalues can be obtained by calculating stationary values of corresponding extended Rayleigh's quotient with dual argument functions, which is essentially different from the well-known Rayleigh's quotient of Lagrange systems with only one independent argument function. Numerical examples are also presented to illustrate the variational approaches presented in this paper. (c) 2007 Elsevier Ltd. All rights reserved.
WOS HeadingsScience & Technology ; Technology
Indexed BySCI
WOS Research AreaAcoustics ; Engineering ; Mechanics
WOS SubjectAcoustics ; Engineering, Mechanical ; Mechanics
WOS IDWOS:000247308900002
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Document Type期刊论文
Affiliation1.Dalian Univ Technol, State Key Lab Struct Anal Ind Equipment, Dalian 116023, Peoples R China
2.Chinese Acad Sci, Key Lab Complex Syst & Intelligence Sci, Beijing 100080, Peoples R China
Recommended Citation
GB/T 7714
Wu, Z. G.,Gao, Q.. Eigenvalue problems of linear Hamiltonian systems arising from H-infinity filtering[J]. JOURNAL OF SOUND AND VIBRATION,2007,304(3-5):450-465.
APA Wu, Z. G.,&Gao, Q..(2007).Eigenvalue problems of linear Hamiltonian systems arising from H-infinity filtering.JOURNAL OF SOUND AND VIBRATION,304(3-5),450-465.
MLA Wu, Z. G.,et al."Eigenvalue problems of linear Hamiltonian systems arising from H-infinity filtering".JOURNAL OF SOUND AND VIBRATION 304.3-5(2007):450-465.
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