An H Infinite Filtering Problem for Systems With State-Dependent Noise
- Authors
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Adrian-Mihail Stoica
University Politehnica of Bucharest, Faculty of Aerospace Engineering
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- Abstract
- The paper presents an H infinite-type filtering problem for stochastic systems subject to statedependent (multiplicative) noise. Necessary and sufficient conditions for the existence of a fixed (reduced) order filter are derived both for continuous-time and for the discrete-time cases. These conditions depend on the solutions of some specific systems of linear matrix inequalities subject to a rank minimization condition. For the considered problem it is shown that the rank constraint can be solved as a semi-definite programming problem using a particular affine transformation.
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- Published
- 2009-06-30
- Issue
- Vol. 11 No. 2 (2009)
- Section
- Articles