Robust H-Infinity Filtering on Stochastic Uncertain Systems

This paper is concerned with the problem of robust H_infin filtering on stochastic uncertain systems subject to parameter uncertainties in both state matrix and output matrix of the state space model. The parameter uncertainty is assumed to be time- varying norm-bounded The aim is to design a filter by auxiliary systems, which ensures both the robustly stochastic stability and prescribed level of H_infin performance for the filtering error dynamics for all admissible uncertainties. The derivation process is simplified by introducing auxiliary systems and the sufficient condition and necessary condition are obtained for the existence of H_infin filter. During the study, the main results were expressed as LMIs by employing various matrix techniques. Using LMI toolbox of Matlab software, it is very convenient to obtain the appropriate filter. Finally, a numerical example shows that the method is effective and feasible.