INTERNATIONAL JOURNAL OF ROBUST AND NONLINEAR CONTROL

Int. J. Robust. Nonlinear Control (2011)

Published online in Wiley Online Library (wileyonlinelibrary.com). DOI: 10.1002/rnc.1739

SHORT COMMUNICATION

Correction to ‘Mixed H2/H∞ Nonlinear Filtering’

M. D. S. Aliyu ∗, † and E. K. Boukas

Department of Mechanical Engineering, Ecole Polytechnique de Montréal, Station Centre-Ville, P. O. Box 6079,
Montréal, Que., Canada H3C 3A7

In Section 5 of Aliyu and Boukas (Int. J. Robust Nonlinear Control 2009; 19:394–417), the authors have
presented certainty-equivalent filters for the mixed H2 /H∞ filtering problem for affine nonlinear systems.
Sufficient conditions for the solvability of the problem with a finite-dimensional filter are given in terms
of a pair of coupled Hamilton–Jacobi–Isaacs equations (HJIEs). In this note, we supply a correction to
these HJIEs. Moreover, for linear systems this correction is not necessary. Copyright 䉷 2011 John Wiley
& Sons, Ltd.

Received 26 February 2011; Accepted 11 March 2011

KEY WORDS: nonlinear filtering; H2 ; H∞ -norms; L2 -gain; Hamilton–Jacobi–Isaacs equations

1. INTRODUCTION

In [1], the mixed H2 /H∞ filtering problem for affine nonlinear systems is considered. In particular,
in Section 5, certainty-equivalent filters are derived, and sufficient conditions for the solvability
of the problem in terms of a pair of coupled Hamilton-Jacobi-Isaacs equations (HJIEs) (42), (43)
are presented. However, in this note we point out that there is an error in these HJIEs. More
specifically, the variation of y, the second argument of the value functions Ỹ (x̂, y) and Ṽ (x̂, y),
was neglected in the HJIEs and therefore the terms Ỹ y (x̂ , y) ẏ and Ṽy (x̂, y) ẏ should be added to
the corresponding HJIEs resulting in the following coupled pair

1 1
Ỹx̂ (x̂, y) f (x̂)+Ỹ y (x̂, y) ẏ− 2
Ỹx̂ (x̂, y)g1 (x̂ )g1T (x̂)Ỹx̂T (x̂ , y)− 2 Ỹx̂ (x̂ , y) L̃(x̂, y) L̃ T (x̂ , y)Ỹx̂T (x̂ , y)
2 2
1 1
− Ỹx̂ (x̂ , y) L̃(x̂, y) L̃ T (x̂, y)Ṽx̂T (x̂ , y)− (y−h 2 (x̂ ))(y−h 2 (x̂)) = 0, Ỹ (0, 0) = 0, (1)
2 2
1 1
Ṽx̂ (x̂, y) f (x̂ )+Ṽy (x̂, y) ẏ− Ṽx̂ (x̂, y)g1 (x̂ )g1T (x̂)Ỹx̂T (x̂ , y)− 2 Ṽx̂ (x̂ , y) L̃(x̂, y) L̃ T (x̂ , y)Ỹx̂T (x̂ , y)
2 
1 1
− Ṽx̂ (x̂ , y) L̃(x̂, y) L̃ T (x̂ , y)Ṽx̂T (x̂ , y)+ (y−h 2 (x̂)T (y−h 2 (x̂)) = 0, Ṽ (0, 0) = 0 (2)
2 2

∗ Correspondence to: M. D. S. Aliyu, Department of Mechanical Engineering, Ecole Polytechnique de Montréal,

Station Centre-Ville, P. O. Box 6079, Montréal, Que., Canada H3C 3A7.
† E-mail: mds.aliyu@polymtl.ca

Copyright 䉷 2011 John Wiley & Sons, Ltd.

 M. D. S. ALIYU AND E. K. BOUKAS

for some smooth functions Ỹ , Ṽ : X×Y → , Ỹ < 0, Ṽ > 0 and where L̃ : X×Y → n×m is the
gain of the filter. Moreover, if we consider the affine nonlinear system defined by

a
ẋ = f (x)+ g1 (x)w, x(t0 ) = x 0
P : (3)
y = h 2 (x)+k21 (x)w
where x ∈ X ∈ n is the state vector, w ∈ W ⊆ L2 ([t0 , ∞), r ) is an unknown disturbance (or noise)
signal, y ∈ Y ⊂ m is the measured output (or observation) of the system, and belongs to Y, the set
of admissible outputs; while the functions f : X → X, g1 : X → Mi× j (X), where Mn×r is the ring
of i × j smooth matrices over X, h 2 : X → m , and k21 : X → Mm×r (X) are real C ∞ functions of
x. It is also assumed without any loss of generality that the system (3) has a unique equilibrium
point at x = 0 such that f (0) = 0, h 2 (0) = 0. Suppose also for simplicity the following assumption
holds.

Assumption 1.1
The system matrices are such that
k21 (x)g1T (x) = 0,
T
k21 (x)k21 (x) = I.

Now, notice from (3) and setting w = 0 in the output equation (in order to obtain the exact time
evolution of y without the measurement noise, because here we are not measuring y), we have
ẏ = L f +g1 w h 2 (x),
where L is the Lie-derivative operator [2]. Then, under certainty-equivalence and with the worst-
case noise estimate w̃  , we have
ẏ = L f (x̂)+g1 (x̂)ŵ h 2 (x̂) = ∇x̂ h 2 (x̂)( f (x̂)+ g1 (x̂)w̃  (x̂)), (4)
where ∇x̂ h 2 (x̂) is the Jacobian matrix of h 2 (x̂ ) and
1 T
w̃  = [g (x̂)Ỹx̂T (x̂, y)−k21
T
(x̂ ) L̃ T (x̂, y)Ỹx̂T (x̂, y)].
2 1
Consequently, substituting (4) in (1), (2) and if Assumption 1.1 holds, results in the following pair
of coupled HJIEs:
1
Ỹx̂ (x̂ , y) f (x̂)+ Ỹ y (x̂, y)∇x̂ h 2 (x̂ ) f (x̂)+ Ỹ y (x̂, y)∇x̂ h 2 (x̂)g1 (x̂)g1T (x̂ )Ỹx̂T (x̂, y)
2
1 1
− 2
Ỹx̂ (x̂ , y)g1 (x̂)g1T (x̂ )Ỹx̂T (x̂, y)− 2 Ỹx̂ (x̂ , y) L̃(x̂, y) L̃ T (x̂, y)Ỹx̂T (x̂, y)
2 2
1 1
− Ỹx̂ (x̂ , y) L̃(x̂, y) L̃ T (x̂ , y)Ṽx̂T (x̂ , y)− (y −h 2 (x̂ ))(y −h 2 (x̂)) = 0, Ỹ (0, 0) = 0, (5)
2 2
1
Ṽx̂ (x̂, y) f (x̂)+ Ṽy (x̂ , y)∇x̂ h 2 (x̂) f (x̂)+ Ṽy (x̂ , y)∇x̂ h 2 (x̂)g1 (x̂)g1T (x̂ )Ỹx̂T (x̂, y)
2
1 1
− Ṽx̂ (x̂, y)g1 (x̂)g1T (x̂ )Ỹx̂T (x̂, y)− 2 Ṽx̂ (x̂, y) L̃(x̂ , y) L̃ T (x̂, y)Ỹx̂T (x̂, y)
2 
1 1
− Ṽx̂ (x̂, y) L̃(x̂, y) L̃ T (x̂, y)Ṽx̂T (x̂, y)+ (y −h 2 (x̂)T (y −h 2 (x̂)) = 0, Ṽ (0, 0) = 0. (6)
2 2
The above is then the correct and formal form of the required HJIEs. However, for linear systems
in which the varition of y in the value functions Ỹ and Ṽ can be augmented in the state vector,

Copyright 䉷 2011 John Wiley & Sons, Ltd. Int. J. Robust. Nonlinear Control (2011)
DOI: 10.1002/rnc
 CORRECTION TO ‘MIXED H2 /H∞ NONLINEAR FILTERING’

i.e., Ỹ (x̂, y), Ṽ (x̂, y) can be chosen as Ỹ (x̂, y) = 12 x̂ T P1 x̂ and Ṽ (x̂ , y) = 12 x̂ T P2 x̂ for some matrices
P1 < 0, P2 > 0, it follows that, the above corrections are not necessary.

2. CONCLUSION

In this note, we have corrected and improved the results of [1]. The final form of the HJIEs are
also more amenable to numerical computation.

REFERENCES
1. Aliyu MDS, Boukas EK. Mixed H2 /H∞ nonlinear filtering. International Journal of Robust and Nonlinear
Control 2009; 19:394–417.
2. Vidyasagar M. Nonlinear Systems Analysis (2nd edn). Prentice-Hall Inc.: U.S.A., 1993.

Copyright 䉷 2011 John Wiley & Sons, Ltd. Int. J. Robust. Nonlinear Control (2011)
DOI: 10.1002/rnc