Robust H filtering for discrete-time nonlinear stochastic systems

Nadav Berman, Uri Shaked

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

In this paper we establish an H filtering theory for discrete-time stochastic systems with uncertainties of a stochastic nature. In particular, we model the uncertain part of the system as a white noise. The theory which is developed in this paper is based on the concept of stochastic dissipativity. It is shown in this paper that stochastic dissipation yields a stochastic Bounded Real Lemma (BRL) which is the basis for the filtering theory developed in this paper.A necessary and sufficient conditions for the existence of a solution to the filtering problem are established. The issue of feasible solutions is discussed and sufficient conditions for a feasible solution to the filtering problem are given in terms of matrix inequalities.

Original languageEnglish
Title of host publicationROCOND'06 - 5th IFAC Symposium on Robust Control Design, Final Program with Abstracts
PublisherIFAC Secretariat
Pages303-308
Number of pages6
EditionPART 1
ISBN (Print)9783902661104
DOIs
StatePublished - 2006

Publication series

NameIFAC Proceedings Volumes (IFAC-PapersOnline)
NumberPART 1
Volume5
ISSN (Print)1474-6670

Keywords

  • Bounded real lemma.
  • Nonlinear systems
  • Stochastic systems

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