Abstract
In this paper, the effect of the smoothing lag h on the achievable performance level /spl gamma/ in continuous-time H/sup /spl infin// fixed-lag smoothing is studied. It is shown that /spl gamma/, in a sense, decays exponentially with h and, moreover, the decay ratio is completely determined by the dynamics of the corresponding Kalman filter, much like for H/sup 2/ smoothing, yet is is also shown that there exists a remarkable difference between the H/sup 2/ and H/sup /spl infin// cases: whereas in the former case the performance improves monotonically with h, in the latter case the achievable /spl gamma/ typically saturates after some finite smoothing lag, and any further increase of h has no effect on the achievable H/sup /spl infin// performance.
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