Brief Filtering on nonlinear time-delay stochastic systems

Authors:
Zidong Wang;Daniel W. C. Ho
Affiliations:
Department of Information Systems and Computing, Brunel University, Uxbridge, Middlesex, UB8 3PH, UK;Department of Mathematics, City University of Hong Kong, 83 Tat Chee Avenue, Kowloon, Hong Kong
Venue:
Automatica (Journal of IFAC)
Year:
2003

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Abstract

In this paper, we address the filtering problem for a general class of nonlinear time-delay stochastic systems. The purpose of this problem is to design a full-order filter such that the dynamics of the estimation error is guaranteed to be stochastically exponentially ultimately bounded in the mean square. Both filter analysis and synthesis problems are considered. Sufficient conditions are proposed for the existence of desired exponential filters, which are expressed in terms of the solutions to algebraic Riccati inequalities involving scalar parameters. The explicit characterization of the desired filters is also derived. A simulation example is given to illustrate the design procedures and performances of the proposed method.