TITLE:
Mode-Dependent Finite-Time H∞ Filtering for Stochastic Nonlinear Systems with Markovian Switching
AUTHORS:
Aiqing Zhang
KEYWORDS:
Stochastic Systems, H∞ Filter, Finite-Time Stability, Linear Matrix Inequalities (LMIS)
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.7 No.9,
September
27,
2019
ABSTRACT: This paper addresses the problem of finite-time H∞ filter design for a class of non-linear stochastic systems with Markovian switching. Based on stochastic differential equations theory, a mode-dependent finite-time H∞ filter is designed to ensure finite-time stochastic stablility (FTSS) of filtering error system and satisfies a prescribed H∞ performance level in some given finite-time intervals. Moreover, sufficient conditions are presented for the existence of a finite-time H∞ filter for the stochastic system under consideration by employing the linear matrix inequality technique. Finally, the explicit expression of the desired filter parameters is given.