H filtering for nonlinear stochastic systems

Nadav Berman, Uri Shaked

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

9 Scopus citations

Abstract

In this paper we develop an H filtering theory, from the dissipation point of view, for a large class of time-continuous stochastic nonlinear systems. In particular, we use the notion of stochastic dissipative systems analogously to the familiar notion of dissipation associated with deterministic systems and utilize it as a basis for the development of our theory. We first establish a connection between what is called the L 2-gain property and the solution to a certain Hamilton-Jacobi inequalities (HJI), that may be viewed as a bounded real lemma for stochastic nonlinear systems. The infinite time horizon is also considered, where for this case we synthesize a worst case based stable filter which operates on the observation. Stability in this case is taken to be both in the mean-square sense and in probability. The problem of robust filtering is considered in the case of norm-bounded uncertainties. A solution is then derived in terms of linear matrix inequalities.

Original languageEnglish
Title of host publicationProceedings of the 20th IEEE International Symposium on Intelligent Control, ISIC '05 and the 13th Mediterranean Conference on Control and Automation, MED '05
Pages749-754
Number of pages6
DOIs
StatePublished - 1 Dec 2005
Event20th IEEE International Symposium on Intelligent Control, ISIC '05 and the13th Mediterranean Conference on Control and Automation, MED '05 - Limassol, Cyprus
Duration: 27 Jun 200529 Jun 2005

Publication series

NameProceedings of the 20th IEEE International Symposium on Intelligent Control, ISIC '05 and the 13th Mediterranean Conference on Control and Automation, MED '05
Volume2005

Conference

Conference20th IEEE International Symposium on Intelligent Control, ISIC '05 and the13th Mediterranean Conference on Control and Automation, MED '05
Country/TerritoryCyprus
CityLimassol
Period27/06/0529/06/05

ASJC Scopus subject areas

  • General Engineering

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