TITLE:
Robust Finite-Time H∞ Filtering for Itô Stochastic Systems
AUTHORS:
Aiqing Zhang
KEYWORDS:
Stochastic Systems, H∞ Filter, Finite-Time Stability, Linear Matrix Inequalities (LMIS)
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.4 No.9,
September
20,
2016
ABSTRACT: 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.