A distributed algorithm for H-infinity fixed-lag smoothing

In this paper, a new approach to H-infinity fixed-lag smoothing is developed by applying the innovation analysis theory. The smoother is derived by resorting to the augmentation state. However, being completely different from the previous work, the augmented state here is considered as just a theoretical mathematical tool for deriving the estimator. A distributed algorithm for the Riccati equation of the augmented system is presented. The calculation of the estimator does not require any augmentation. The comparison of the computation costs between the new approach and previous work is made. The main technique applied in this paper is the re-organized innovation analysis in an indefinite space.