On the \(H^{\infty}\) fixed-lag smoothing: How to exploit the information preview. (Q1410382)

The problem is to estimate a linear combination of the system state at time \(t\) given measurements up to time \(t+h\) for some ``smoothing lag'' \(h>0\). The solution procedure, involving one algebraic Riccati equation of the same dimension as in the filtering case, is based on the reduction of the associated infinite-dimensional J-spectral factorization problem to an equivalent finite-dimensional one. A numerical example is given.