Brief H∞ control and filtering of discrete-time stochastic systems with multiplicative noise

Authors:
E. Gershon;U. Shaked;I. Yaesh
Affiliations:
Department of Electrical Engineering-Systems, Tel-Aviv University, Tel Aviv, Israel;Department of Electrical Engineering-Systems, Tel-Aviv University, Tel Aviv, Israel;Taas Israel Industries, Advanced Systems Division, P.O. Box 1044/77 Ramat Hasharon, Israel
Venue:
Automatica (Journal of IFAC)
Year:
2001

Citing 2
Cited 10

State-feedback control of systems with multiplicative noise via linear matrix inequalities

Systems & Control Letters
Brief paper: Feedback stabilizability for stochastic systems with state and control dependent noise

Automatica (Journal of IFAC)

Technical communique: H∞ output-feedback control of discrete-time systems with state-multiplicative noise

Automatica (Journal of IFAC)
Brief paper: Stochastic linear quadratic regulation for discrete-time linear systems with input delay

Automatica (Journal of IFAC)
Robust peak-to-peak filtering for Markov jump systems

Signal Processing
Synthesis of switching H2and H∞output-feedback controllers: a fuzzy supervisor approach

ACC'09 Proceedings of the 2009 conference on American Control Conference
Robust H-infinity filtering on uncertain time-delay systems under sampled measurements

CCDC'09 Proceedings of the 21st annual international conference on Chinese control and decision conference
Reliable H∞ filtering for discrete time-delay systems with randomly occurred nonlinearities via delay-partitioning method

Signal Processing
Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

Automatica (Journal of IFAC)
Brief Robust H∞ filtering for uncertain impulsive stochastic systems under sampled measurements

Automatica (Journal of IFAC)
Distributed weighted robust Kalman filter fusion for uncertain systems with autocorrelated and cross-correlated noises

Information Fusion
Distributed H∞ filtering in sensor networks with randomly occurred missing measurements and communication link failures

Information Sciences: an International Journal

Quantified Score

Hi-index	22.15

Visualization

Abstract

Linear discrete-time systems with stochastic uncertainties in their state-space matrices are considered. The problems of finite-horizon filtering and output-feedback control are solved, taking into account possible cross-correlations between the uncertain parameters. In both problems, a cost function is defined which is the expected value of the relevant standard H"~ performance index with respect to the uncertain parameters. A solution to the filtering problem is obtained first by applying the adjoint system and deriving a bounded real lemma for this system. This solution guarantees a prescribed estimation level of accuracy while minimizing an upper bound on the covariance of the estimation error. The solution of the filtering problem is also extended to the infinite-horizon case. The results of the filtering problem are used to solve the corresponding output-feedback problem. A filtering example is given where a comparison is made with the results obtained using bounded uncertainty design techniques.