Robust Finite-Time H_∞ Filtering for ItôStochastic Systems  

作　　者：Aiqing Zhang Aiqing Zhang(College of Mathematics and Computer Science, Jianghan University, Wuhan, China)

机构地区：[1]College of Mathematics and Computer Science, Jianghan University, Wuhan, China

出　　处：《Journal of Applied Mathematics and Physics》2016年第9期1705-1713,共10页应用数学与应用物理（英文）

摘　　要：This paper investigates the problem of robust finite-time H_∞ filter design for It&ocirc 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.This paper investigates the problem of robust finite-time H_∞ filter design for It&ocirc 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.

关 键 词：Stochastic Systems H_∞ Filter Finite-Time Stability Linear Matrix Inequalities (LMIS) 

分 类 号：O17[理学—数学]