Automatica, Vol.92, 249-253, 2018
A computationally reduced version of the fast H-infinity filter
The fast H-infinity filter is designed to overcome the performance limitations of the fast Kalman filter and the fast transversal filter used for system identification; however, its computational complexity exceeds O(7N), the complexity of the original fast transversal filter. In this work, a computationally reduced version of the fast H-infinity filter is derived as an a posteriori error formulation of the fast H-infinity filter using a conversion factor. The conversion factor-based fast H-infinity filter provides the same performance as the fast H-infinity filter at the expense of a computational cost comparable to that of the fast transversal filter. (C) 2018 Elsevier Ltd. All rights reserved.