LMIs in Control/pages/H2 Optimal Filter

Optimal filtering is a means of adaptive extraction of a weak desired signal in the presence of noise and interfering signals. Optimal filters normally are free from stability problems. There are simple operational checks on an optimal filter when it is being used that indicate whether it is operating correctly. Optimal filters are probably easier to make adaptive to parameter changes than suboptimal filters.The goal of optimal filtering is to design a filter that acts on the output of the generalized plant and optimizes the transfer matrix from w to the filtered output.

The System:Edit

Consider the continuous-time generalized LTI plant with minimal states-space realization


where it is assumed that   is Hurwitz.

The DataEdit

The matrices needed as inputs are  .

The Optimization Problem:Edit

An  -optimal filter is designed to minimize the   norm of   in following equation.


To ensure that   has a finite   norm, it is required that  , which results in  

The LMI: - Optimal filterEdit

Solve for  ,   and   that minimize   subject to  .



The filter is recovered by   and  .


MATLAB code of   Optimal filter

External linksEdit