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Finite‐Time H∞ Filtering for Linear Continuous Time‐Varying Systems with Uncertain Observations

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  • Huihong Zhao
  • Chenghui Zhang

Abstract

This paper is concerned with the finite‐time H∞ filtering problem for linear continuous time‐varying systems with uncertain observations and ℒ2‐norm bounded noise. The design of finite‐time H∞ filter is equivalent to the problem that a certain indefinite quadratic form has a minimum and the filter is such that the minimum is positive. The quadratic form is related to a Krein state‐space model according to the Krein space linear estimation theory. By using the projection theory in Krein space, the finite‐time H∞ filtering problem is solved. A numerical example is given to illustrate the performance of the H∞ filter.

Suggested Citation

  • Huihong Zhao & Chenghui Zhang, 2012. "Finite‐Time H∞ Filtering for Linear Continuous Time‐Varying Systems with Uncertain Observations," Journal of Applied Mathematics, John Wiley & Sons, vol. 2012(1).
    • Handle: RePEc:wly:jnljam:v:2012:y:2012:i:1:n:710904
    DOI: 10.1155/2012/710904
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    References listed on IDEAS

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    1. Huihong Zhao & Chenghui Zhang & Guangchen Wang & Guojing Xing, 2011. "H∞ Estimation for a Class of Lipschitz Nonlinear Discrete‐Time Systems with Time Delay," Abstract and Applied Analysis, John Wiley & Sons, vol. 2011(1).
    2. Huihong Zhao & Chenghui Zhang & Guangchen Wang & Guojing Xing, 2011. "ð » âˆž Estimation for a Class of Lipschitz Nonlinear Discrete-Time Systems with Time Delay," Abstract and Applied Analysis, Hindawi, vol. 2011, pages 1-22, July.
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