PREDICTION, FILTERING, SMOOTHING AND DECONVOLUTION IN A DISCRETE H-INFINITY SETTING - A GAME-THEORY APPROACH

The problems of prediction, filtering, smoothing and deconvolution are formulated and solved for a discrete time linear system in an H-infin ity setting over a finite interval. The measurement noise and process noise have bounded energies. The case with known initial conditions is considered. The approach uses a basic quadratic game theory in a disc rete time-domain H-infinity setting.