Filtering Theory

This monograph examines linear filtering and inverse filtering in a general setting, presenting a state-of-the art view of H 2 , H-infinity, and a variety of mixed H 2 and H-infinity filtering issues. Applications of filtering theorya??central to a wide variety of disciplines, including control, communications, and signal processinga??are also presented. Key features and topics: * Develops a general theory of H 2 filtering, H 2 delayed filtering, and H 2 inverse filtering or H 2 deconvolution in a broad framework with a complete analysis, as well as synthesis aspects of filter design * Examines several hierarchically ordered layers of noise decoupled filtering problems, delayed filtering problems, and deconvolution problems under a single umbrella * Illustrates the application of filtering theory to fault detection, isolation, and estimation * Numerous examples with MATLAB, comprehensive bibliography, and index * Open problems Filtering Theory is aimed at a broad audience of practicing engineers, graduate students, and researchers in filtering, signal processing, and control. The book may serve as an advanced graduate text for a course or a seminar in filtering theory in applied mathematics or engineering departments. Prerequisites for the reader are a first graduate course in state-space methods as well as a first course in filtering.