Robust Filtering for General Nonlinear Stochastic State-Delayed Systems

Weihai Zhang, Gang Feng and Qinghua Li

Mathematical Problems in Engineering, 2012, vol. 2012, 1-15

Abstract:

This paper studies the robust H ∞ filtering problem of nonlinear stochastic systems with time delay appearing in state equation, measurement, and controlled output, where the state is governed by a stochastic Itô-type equation. Based on a nonlinear stochastic bounded real lemma and an exponential estimate formula, an exponential (asymptotic) mean square H ∞ filtering design of nonlinear stochastic time-delay systems is presented via solving a Hamilton-Jacobi inequality. As one corollary, for linear stochastic time-delay systems, a Luenberger-type filter is obtained by solving a linear matrix inequality. Two simulation examples are finally given to show the effectiveness of our results.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:231352

DOI: 10.1155/2012/231352

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