New delay-dependent L2-L∞ filter design for stochastic time-delay systems

Authors:
Yun Chen;Anke Xue;Shaosheng Zhou
Affiliations:
Institute of Information and Control, Hangzhou Dianzi University, Hangzhou 310018, PR China and National Laboratory of Industrial Control Technology, Zhejiang University, Hangzhou 310027, PR China;Institute of Information and Control, Hangzhou Dianzi University, Hangzhou 310018, PR China;Institute of Information and Control, Hangzhou Dianzi University, Hangzhou 310018, PR China
Venue:
Signal Processing
Year:
2009

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Abstract

This paper investigates delay-dependent L"2-L"~ performance analysis and filtering of stochastic systems with delays. Based on an auxiliary vector, an integral inequality in the stochastic setting is introduced. The proposed stochastic integral inequality reduces to some existing ones in the deterministic context, if there are no stochastic perturbations. By using this new integral inequality and free-weighting matrix technique, a simpler L"2-L"~ performance analysis result with fewer dimensions of linear matrix inequality (LMI) and fewer variables is presented. The mathematical equivalence of the presented result and some existing one is established. A stochastic L"2-L"~ filter which guarantees asymptotic mean-square stability of the filtering error system is designed in terms of LMIs. Both model transformations and and estimation for cross terms are avoided. Two illustrative examples are given to show the effectiveness of the method.