Robust H 2 Filtering for Continuous - Time Stochastic Systems with Uncertainties
نویسندگان
چکیده
Abstract: In this paper, robust H2 optimal filtering is addressed for continuoustime stochastic systems with polytopic parameter uncertainty. A new robust stability condition is presented. A continuous-time robust H2 optimal filter is obtained by solving a sufficient linear matrix inequality condition characterizing a solution of a minimum variance filtering problem which takes into account the polytopic type of model uncertainties. The advantage of the proposed approach is illustrated through numerical examples. Copyright c ©2007 IFAC
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