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Robust / Filter Design for a Class of Nonlinear Stochastic Systems with State-Dependent Noise

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  • Weihai Zhang
  • Bor-Sen Chen
  • Li Sheng
  • Ming Gao

Abstract

This paper investigates the problem of robust filter design for a class of nonlinear stochastic systems with state-dependent noise. The state and measurement are corrupted by stochastic uncertain exogenous disturbance and the dynamic system is modeled by Itô-type stochastic differential equations. For this class of nonlinear stochastic systems, the robust filter can be designed by solving linear matrix inequalities (LMIs). Moreover, a mixed / filtering problem is also solved by minimizing the total estimation error energy when the worst-case disturbance is considered in the design procedure. A numerical example is provided to illustrate the effectiveness of the proposed method.

Suggested Citation

  • Weihai Zhang & Bor-Sen Chen & Li Sheng & Ming Gao, 2012. "Robust / Filter Design for a Class of Nonlinear Stochastic Systems with State-Dependent Noise," Mathematical Problems in Engineering, Hindawi, vol. 2012, pages 1-16, October.
    • Handle: RePEc:hin:jnlmpe:750841
    DOI: 10.1155/2012/750841
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