Title :
H∞ Filtering for a class of nonlinear stochastic systems
Author :
Halabi, S. ; Rafaralahy, H. ; Zasadzinski, M. ; Ali, H. Souley
Author_Institution :
CRAN UMR 7039 - CNRS UHP, Univ. Henri Poincare - Nancy I, Cosnes et Romain
Abstract :
In this paper, the purpose is to design an H∞ filter for a class of nonlinear stochastic systems such that the estimation error is exponentially mean-square stable with a prescribed H∞ norm criterion. The system is nonlinear and has multiplicative noises in both the state and measurement equations. Using a change of coordinates on the control input the problem is transformed into a robust stochastic filtering one. It is then solved via an LMI formulation
Keywords :
H∞ control; filtering theory; linear matrix inequalities; nonlinear control systems; stochastic systems; H∞ filtering; H∞ norm criterion; Ito formula; Lyapunov stochastic function; measurement equation; multiplicative noise; nonlinear stochastic systems; robust stochastic filtering; state equation; Additive noise; Control systems; Equations; Filtering; Filters; Nonlinear control systems; Nonlinear systems; Stochastic resonance; Stochastic systems; Uncertain systems; H∞ filter; Itÿ formula; Lyapunov stochastic function; multiplicative noise; nonlinear systems; stochastic systems;
Conference_Titel :
Decision and Control, 2006 45th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
1-4244-0171-2
DOI :
10.1109/CDC.2006.377373
