Robust H∞ filter design for uncertain singular stochastic systems

This paper deals with the problem of robust H_∞ filter design for uncertain singular 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 H_∞ filter such that, for all admissible uncertainties, the filtering error system is stochastically mean-square stable, and a prescribed H_∞ disturbance attenuation level is guaranteed. A sufficient condition for the existence of a H_∞ filter for the system under consideration is achieved in terms of LMIS. Moreover, the explicit expression of the desired filter parameters is given.