具有谱约束的随机系统的H_∞滤波

H_∞ Filtering for Stochastic Systems with Spectrum Constraints

研究具有谱约束的随机线性系统H∞滤波,假设系统方程由伊藤随机微分方程描述,可通过重新定义随机系统谱算子,找到随机系统既满足α-域稳定,又满足H∞性能指标的充分条件。通过解一组线性矩阵不等式,可设计随机系统α-域稳定的H∞滤波器。

This paper discusses the H∞ filtering problem for linear stochastic systems with spectrum constraints. The system is described by the Ito stochastic differential equation.By redefing the form of spectrum operator for stochastic systems, a sufficient condition for α -stability and H∞ Performance index of the system is proposed by using LMIs.