Reduced-order H optimal filtering for systems with slow and fast modes

Myo Taeg Lim, Zoran Gajic

Research output: Contribution to journalArticlepeer-review

23 Citations (Scopus)


In this paper we present a method that allows complete time-scale separation and parallelism of the H optimal filtering problem for linear systems with slow and fast modes (singularly perturbed linear systems). The algebraic Riccati equation of singularly perturbed H filtering problem is decoupled into two completely independent reduced-order pure-slow and pure-fast H algebraic Riccati equations. The corresponding H filter is decoupled into independent reduced-order, well-defined pure-slow and pure-fast filters driven by system measurements. The proposed exact closed-loop decomposition technique produces many savings in both on-line and off-line computations and allows parallel processing of information with different sampling rates for slow and fast signals.

Original languageEnglish
Pages (from-to)250-254
Number of pages5
JournalIEEE Transactions on Circuits and Systems I: Fundamental Theory and Applications
Issue number2
Publication statusPublished - 2000

ASJC Scopus subject areas

  • Electrical and Electronic Engineering


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