Robust Finite-Time H∞ Filtering for Itô Stochastic Systems
نویسنده
چکیده
This paper investigates the problem of robust finite-time H∞ filter design for Itô stochastic systems. Based on linear matrix inequalities (LMIS) techniques and stability theory of stochastic differential equations, stochastic Lyapunov function method is adopted to design a finite-time H∞ filter such that, for all admissible uncertainties, the filtering error system is stochastic finite-time stable (SFTS). A sufficient condition for the existence of a finite-time H∞ filter for the stochastic system under consideration is achieved in terms of LMIS. Moreover, the explicit expression of the desired filter parameters is given. A numerical example is provided to illustrate the effectiveness of the proposed method.
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∗ Department of Mathematics, City University of Hong Kong, 83 Tat Chee Avenue, Kowloon, Hong Kong. E-mail: [email protected] ∗∗ School of Information Science & Engineering, East China University of Science & Technology, Shanghai, 200237, P.R.C. E-mail:[email protected]. ∗∗∗ Department of Mathematics, City University of Hong Kong, 83 Tat Chee Avenue, Kowloon, Hong Kong. E-mail: macwli@cit...
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