Mixed H 2 /H ∞ Nonlinear Filtering

In this paper, we consider the mixed H2/H∞ filtering problem for affine nonlinear systems. Sufficient conditions for the solvability of this problem with a finite-dimensional filter are given in terms of a pair of of coupled Hamilton-Jacobi-Isaac’s equations (HJIE). For linear systems, it is shown that these conditions reduce to a pair of coupled Riccati equations similar to the ones for the control case. Both the finite-horizon and infinite-horizon problems are discussed for the case when the initial condition of the plant is known. Key

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