Title :
Robust H2/H∞ Filtering for Uncertain Systems with Missing Measurement
Author :
Yang, Fuwen ; Wang, Zidong ; Gani, Mahbub
Author_Institution :
Dept. of Electron. Eng., London Univ.
Abstract :
In this paper, the robust H2/H∞ filtering problem is addressed for a class of uncertain discrete-time stochastic systems with missing measurement. The purpose of this paper is to design a filter, such that for all possible missing measurement and admissible uncertainty, the filtering process is exponentially mean-square quadratically stable, and simultaneously achieves the prescribed H2 and H∞ performance specifications. Sufficient conditions are derived, respectively, to ensure mean-square stability, the H2 performance, and the H ∞ performance. A unified framework is established to solve the addressed robust H2/H∞ filtering problem by using a linear matrix inequality (LMI) approach. As a by-product, two additional optimization problems are dealt with, aiming to optimize the H2and H∞ filtering performances. A numerical example is provided to illustrate the usefulness of the proposed method
Keywords :
H∞ optimisation; asymptotic stability; discrete time systems; filtering theory; linear matrix inequalities; robust control; stochastic systems; uncertain systems; exponentially mean-square quadratically stable; filter design; linear matrix inequality; optimization problem; robust H2/H∞ filtering; uncertain discrete-time stochastic systems; Estimation error; Filtering; Filters; Hydrogen; Riccati equations; Robust control; Robustness; Stability; Stochastic systems; Uncertain 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.2006.376766