Robust Finite-Time H∞ Filtering for Itô Stochastic Systems

Aiqing Zhang
2016 Journal of Applied Mathematics and Physics  
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
more » ... 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.
doi:10.4236/jamp.2016.49179 fatcat:3ix7zumcozcj7ob4khsey6j3wm