LMIs in Control/pages/H-infinity filtering
For systems that have disturbances, filtering can be used to reduce the effects of these disturbances. Described on this page is a method of attaining a filter that will reduce the effects of the disturbances as completely as possible. To do this, we look to find a set of new coefficient matrices that describe the filtered system. The process to achieve such a new system is described below. The H-infinity-filter tries to minimize the maximum magnitude of error.
For the application of this LMI, we will look at linear systems that can be represented in state space as
where represent the state vector, the measured output vector, and the output vector of interest, respectively, is the disturbance vector, and and are the system matrices of appropriate dimension.
To further define: is and is the state vector, is and is the state matrix, is and is the input matrix, is and is the exogenous input, is and is the output matrix, and are and are feedthrough matrices, and and are and are the output and the output of interest, respectively.
The data are (the disturbance vector), and and (the system matrices). Furthermore, the matrix is assumed to be stable
The Optimization ProblemEdit
We need to design a filter that will eliminate the effects of the disturbances as best we can. For this, we take a filter of the following form:
where is the state vector, is the estimation vector of z, and are the coefficient matrices of appropriate dimensions.
Note that the combined complete system can be represented as
where is the estimation error,
is the state vector of the system, and are the coefficient matrices, defined as:
In other words, for the system defined above we need to find such that
where is a positive constant, and
The LMI: H-inf FilteringEdit
The solution can be obtained by finding matrices that obey the following LMIs:
To find the corresponding filter, use the optimized matrices from the solution to find:
These matrices can then be used to produce to construct the filter described above, that will best eliminate the disturbances of the system.
This implementation requires Yalmip and Sedumi.
This LMI comes from
-  - "LMIs in Control Systems: Analysis, Design and Applications" by Guang-Ren Duan and Hai-Hua Yu
- LMI Methods in Optimal and Robust Control - A course on LMIs in Control by Matthew Peet.
- LMI Properties and Applications in Systems, Stability, and Control Theory - A List of LMIs by Ryan Caverly and James Forbes.
- LMIs in Systems and Control Theory - A downloadable book on LMIs by Stephen Boyd.
Duan, G. (2013). LMIs in control systems: analysis, design and applications. Boca Raton: CRC Press, Taylor & Francis Group.