The Design of Robust H∞ Filtering for Stochastic Uncertain Systems

The robust H_infin filtering problem is considered for stochastic uncertain systems subject to norm-bounded parameter uncertainties in both state and output matrices of the state space model. 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 uncertainty. The sufficient conditions for existing filter are derived. An LMI method for designing filter is given by matrix transformations, so it is convenient to obtain the expression of filter. At last, a numerical example shows that the method is effective and feasible