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Chen, Y., Wang, J.H., et al. (2009) Dependent Filtering of Uncertain Stochastic Systems with Delays. The 48th IEEE Conference on Decision and Control, Shanghai, 16-18 December 2009, 1824-1829.

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• 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.