H∞ filtering on nonlinear stochastic systems with delay

Guoliang Wei and Huisheng Shu

Chaos, Solitons & Fractals, 2007, vol. 33, issue 2, 663-670

Abstract: This paper is concerned with the problem of H∞ filtering for a class of nonlinear Itô stochastic systems with delay. The objective is to design such a full-order filter that the L2 gain from the exogenous input to an estimation error is minimized or guaranteed to be less or equal to a prescribed value. Sufficient conditions are obtained for the existence of desired H∞ filters, which are given in terms of the solutions to quadratic matrix inequalities involving scalar parameters. A numerical example is provided to demonstrate the effectiveness of the proposed approach.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:33:y:2007:i:2:p:663-670

DOI: 10.1016/j.chaos.2006.01.070

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