H∞ functional filtering for stochastic bilinear systems with multiplicative noises
نویسندگان
چکیده
This paper deals with the design of a reduced-order H∞ filter for a stochastic bilinear system with a prescribed H∞ norm criterion. The considered system is bilinear in control and with multiplicative noises in the dynamics and in the measurement equations. The problem is transformed into the search of a unique gain matrix by using Sylvester-like constraints. The approach is based on the resolution of LMI and is then easily implementable.
منابع مشابه
Kalman Filtering for Linear Time-Delayed Continuous-Time Systems with Stochastic Multiplicative Noises 355 Kalman Filtering for Linear Time-Delayed Continuous-Time Systems with Stochastic Multiplicative Noises
Abstract: The paper deals with the Kalman stochastic filtering problem for linear continuoustime systems with both instantaneous and time-delayed measurements. Different from the standard linear system, the system state is corrupted by multiplicative white noise, and the instantaneous measurement and the delayed measurement are also corrupted by multiplicative white noise. A new approach to the...
متن کاملH-infinity Filtering for a Class of Stochastic Bilinear Systems with Multiplicative Noise
In this paper, the purpose is to design a filter for a stochastic bilinear system which satisfies an H∞ prescribed norm constraint and such that the estimation error is mean-square stable. The system under consideration is bilinear in control input and is subjected to multiplicative noise in both the state and the measurement equations. The system is also corrupted by deterministic perturbation...
متن کاملH ∞ Filtering for Uncertain Bilinear Stochastic Systems †
This paper is concerned with the problem of H∞ filtering for continuous-time uncertain stochastic systems. The model under consideration contains both state-dependent stochastic noises and deterministic parameter uncertainties residing in a polytope. According to the online availability of the information on the uncertain parameters, we propose two approaches, namely robust stochastic H∞ filter...
متن کاملRobust control design through the attractive ellipsoid technique for a class of linear stochastic models with multiplicative and additive noises
This paper concerns the robust ‘practical’ stabilization for a class of linear controlled stochastic differential equations subject to both multiplicative and additive stochastic noises. Sufficient conditions of the stabilization are provided in two senses. In the first sense, it is proven that almost all trajectories of the stochastic model converge in a ‘mean-square sense’ to a bounded zone l...
متن کاملEstimation and analysis of nonlinear stochastic systems
The algebraic and geometric structure of certain classes of nonlinear stochastic systems is exploited in order to obtain useful stability and estimation results. First, the class of bilinear stochastic systems (or linear systems with multiplicative noise) is discussed. The stochastic stability of bilinear systems driven by colored noise is considered; in the case that the system evolves on a so...
متن کامل