Exponential H∞ filter design for stochastic time‐varying delay systems with Markovian jumping parameters
Exponential H∞ filter design for stochastic time‐varying delay systems with Markovian jumping parameters
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DOI：
10.1002/rnc.1477
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发表时间：
2010-05
影响因子：
3.9
通讯作者：
Li Ma;F. Da
中科院分区：
文献类型：
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作者：
Li Ma;F. Da
研究了一类具有马尔可夫跳变参数的随机时变时滞系统的指数H∞滤波器设计问题。随机不确定性出现在动态和测量方程中，并且状态延迟被假设为时变的。重点研究了均方指数稳定和马尔可夫跳变滤波器的设计，使得滤波误差系统均方指数稳定且估计误差满足给定的H∞性能。通过引入一些松弛矩阵变量，以线性矩阵不等式（LMI）的形式给出了上述问题可解的时滞依赖充分条件。此外，衰减率可以是给定的正值，而没有任何其他约束。当所提出的线性矩阵不等式可行时，可以给出所需H∞滤波器的显式表达式。数值算例验证了该方法的有效性。版权所有© 2009约翰威利父子有限公司。
In this paper, the exponential H∞ filter design problem is investigated for a general class of stochastic time‐varying delay system with Markovian jumping parameters. The stochastic uncertainties appear in both the dynamic and the measurement equations and the state delay is assumed to be time‐varying. Attention is focused on the design of mean‐square exponentially stable and Markovian jump filter such that the filtering error systems are mean‐square exponentially stable and the estimation error satisfies a given H∞ performance. By introducing some slack matrix variables, delay‐dependent sufficient conditions for the solvability of the above problem are presented in terms of linear matrix inequalities (LMIs). In addition, the decay rate can be a given positive value without any other constraints. When the proposed LMIs are feasible, an explicit expression of the desired H∞ filter can be given. A numerical example is provided to illustrate the effectiveness of the proposed design approach. Copyright © 2009 John Wiley & Sons, Ltd.