Finite-time H∞ filtering for non-linear stochastic systems. Issue 12 (9th September 2016)

• Record Type: Journal Article
• Authors: Hou, Mingzhe; Deng, Zongquan; Duan, Guangren
• Is Part Of: International journal of systems science. Volume 47:Issue 12(2016)
• Page Start: 2945
• Page End: 2953
• Publication Date: 2016-09-09
• Subjects: finite time -- H∞ filtering -- non-linear systems -- stochastic systems -- Hamilton–Jacobi inequality; System analysis -- Periodicals; 003.3
• DOI: 10.1080/00207721.2015.1049302
• Languages: English
• ISSNs: 0020-7721

Abstract

Abstract : This paper describes the robust H ∞ filtering analysis and the synthesis of general non-linear stochastic systems with finite settling time. We assume that the system dynamic is modelled by Itô-type stochastic differential equations of which the state and the measurement are corrupted by state-dependent noises and exogenous disturbances. A sufficient condition for non-linear stochastic systems to have the finite-time H ∞ performance with gain less than or equal to a prescribed positive number is established in terms of a certain Hamilton–Jacobi inequality. Based on this result, the existence of a finite-time H ∞ filter is given for the general non-linear stochastic system by a second-order non-linear partial differential inequality, and the filter can be obtained by solving this inequality. The effectiveness of the obtained result is illustrated by a numerical example.