随机不确定系统的鲁棒H∞滤波

研究在同时具有参数和随机不确定的情况下的鲁棒H∞估计问题.假设系统的方程由Ito随机微分方程描述,不确定的参数是范数有界的,外部干扰是随机不确定的.通过解一个线性矩阵不等式,可以设计鲁棒H∞滤波器,最后给出的一个例子对理论分析进行了阐述.

Robust H∞ filtering of stochastic uncertain systems

The robust H∞ estimation under parametric and stochastic uncertainties was studied. It was assumed that theuncertain parameter was norm bounded, the exogenous disturbance was stochastic uncertain and the systems were expressed byIto's stochastic differential equations. The H∞ filtering was constructed via solving a linear matrix inequality, and an examplewas presented to illustrate the developed theory.