Robust H∞ Filtering for Uncertain Stochastic Time-delay Systems

This paper deals with the problem of robust H∞ filtering for uncertain stochastic systems. The system under consideration is subject to time-varying norm-bounded parameter uncertainties and unknown time delays in both the state and measurement equations. The problem we address is the design of a stable filter that ensures the robust stochastic stability and a prescribed H∞ performance level for the filtering error system irrespective of all admissible uncertainties and time delays. A suffient condition for the solvability of this problem is proposed and a linear matrix inequality approach is developed for the design of the robust H∞ filters. An illustrative example is provided to demonstrate the effctiveness of the proposed approach.