Robust H∞ Filtering for General Nonlinear Stochastic State-Delayed Systems

Abstract EN

This paper studies the robust H∞ filtering problem of nonlinear stochastic systemswith time delay appearing in state equation, measurement, and controlled output, where thestate is governed by a stochastic Itô-type equation.

Based on a nonlinear stochastic boundedreal lemma and an exponential estimate formula, an exponential (asymptotic) mean square H∞filtering design of nonlinear stochastic time-delay systems is presented via solving a Hamilton-Jacobi inequality.

As one corollary, for linear stochastic time-delay systems, a Luenberger-type filter is obtained by solving a linear matrix inequality.

Two simulation examples are finally givento show the effectiveness of our results.