Abstract
This paper considers the problem of robust H∞ filtering for uncertain discrete-time stochastic systems with time-varying delays. The parameter uncertainties are assumed to be real time-varying norm-bounded in both the state and measurement equations. The problem to be addressed is the design of a stable filter that guarantees stochastic stability and a prescribed H∞ performance level of the filtering error system for all admissible uncertainties and time delays. A sufficient condition for the existence of such filters is obtained in terms of a linear matrix inequality (LMI). For the case when this LMI is feasible, an explicit expression for a desired filter is given. An illustrative example is also provided to demonstrate the effectiveness and applicability of the proposed method.
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Xu, S., Lam, J., Gao, H. et al. Robust H∞ Filtering for Uncertain Discrete Stochastic Systems with Time Delays. Circuits Syst Signal Process 24, 753–770 (2005). https://doi.org/10.1007/s00034-005-0921-1
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DOI: https://doi.org/10.1007/s00034-005-0921-1