H∞optimal multichannel linear deconvolution filters, predictors and smoothers

Abstract

A solution is presented to the H∞ optimal deconvolution filtering, smoothing and prediction problems for multivariable, discrete, linear signal processing problems. A weighted H∞ cost-function is minimized where the dynamic weighting function can be chosen for robustness improvement. The signal and noise sources can be correlated and signal channel dynamics can be included in the system model. A brief example is presented to demonstrate the approach.