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H∞ FILTERING OF SIGNALS SUBJECTED TO MULTIPLICATIVE WHITE NOISE
Adrian Stoica
University “Politehnica” of Bucharest, Faculty of Aerospace Engineering,
Str. Splaiul Independentei, no. 313, Ro-77206, Bucharest, Romania
e-mail: amstoica@fx.ro
In the present paper an H∞-type filtering approach for continuous-time stochastic systems with multiplicative white noise is presented. The design procedure uses the Bounded Real Lemma type result. The paper considers the case when the filter oder is fixed. Necessary and sufficient solvability conditions are derived in terms of two linear matrix inequalities coupled by a rank constrain condition. A numerical example illustrates the theoretical developments.
Keywords: Stochastic systems, Multiplicative white noise, H∞ -filtering, γ-attenuation, Linear matrix inequalities
Session slot T-Tu-A07: Linear and Nonlinear Filtering/Area code 3d : Stochastic Systems
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