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Finite-time filtering for non-linear stochastic systems

Author

Listed:
  • Mingzhe Hou
  • Zongquan Deng
  • Guangren Duan

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.

Suggested Citation

  • Mingzhe Hou & Zongquan Deng & Guangren Duan, 2016. "Finite-time filtering for non-linear stochastic systems," International Journal of Systems Science, Taylor & Francis Journals, vol. 47(12), pages 2945-2953, September.
    • Handle: RePEc:taf:tsysxx:v:47:y:2016:i:12:p:2945-2953
    DOI: 10.1080/00207721.2015.1049302
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