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

Abstract EN

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.