H-infinity filtering for a class of stochastic bilinear systems with multiplicative noise
| Authors: | Zasadzinski Michel, Universite Henri Poincare - Nancy I, France
Halabi Souheil, Universite Henri Poincare - Nancy I, France
Rafaralahy Hugues, Universite Henri Poincare - Nancy I, France
Souley Ali Harouna, Universite Henri Poincare - Nancy I, France |
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| Topic: | 1.4 Stochastic Systems |
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| Session: | Control, Estimation and Analysis of Stochastic Systems |
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| Keywords: | Filtering, Stochastic systems, Ito equation, Lyapunov stochastic function, LMI |
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Abstract
In this paper, the purpose is to design a filter for a stochastic bilinear system which satisfies an H-infinity prescribed norm constraint and such that the estimation error is mean-square stable. The system under consideration is bilinear in control input and is subjected to multiplicative noise in both the state and the measurement equations. The system is also corrupted by deterministic perturbations. The proposed approach is based on the resolution of LMI and the filter design requires to satisfy a rank condition.
