Author(s)

Aiqing Zhang

College of Mathematics and Computer Science, Jianghan University, Wuhan, Hubei, China.

This paper addresses the problem of finite-time H_∞ filter design for a class of non-linear stochastic systems with Markovian switching. Based on stochastic differential equations theory, a mode-dependent finite-time H_∞ filter is designed to ensure finite-time stochastic stablility (FTSS) of filtering error system and satisfies a prescribed H_∞ performance level in some given finite-time intervals. Moreover, sufficient conditions are presented for the existence of a finite-time H_∞ filter for the stochastic system under consideration by employing the linear matrix inequality technique. Finally, the explicit expression of the desired filter parameters is given.

Stochastic Systems, H_∞ Filter, Finite-Time Stability, Linear Matrix Inequalities (LMIS)

Zhang, A. (2019) Mode-Dependent Finite-Time H_∞ Filtering for Stochastic Nonlinear Systems with Markovian Switching. Journal of Applied Mathematics and Physics, 7, 2112-2121. doi: 10.4236/jamp.2019.79144.