Robust / Filter Design for a Class of Nonlinear Stochastic Systems with State-Dependent Noise

Weihai Zhang, Bor-Sen Chen, Li Sheng and Ming Gao

Mathematical Problems in Engineering, 2012, vol. 2012, 1-16

Abstract:

This paper investigates the problem of robust filter design for a class of nonlinear stochastic systems with state-dependent noise. The state and measurement are corrupted by stochastic uncertain exogenous disturbance and the dynamic system is modeled by Itô-type stochastic differential equations. For this class of nonlinear stochastic systems, the robust filter can be designed by solving linear matrix inequalities (LMIs). Moreover, a mixed / filtering problem is also solved by minimizing the total estimation error energy when the worst-case disturbance is considered in the design procedure. A numerical example is provided to illustrate the effectiveness of the proposed method.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:750841

DOI: 10.1155/2012/750841

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