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Title: Filtering for a class of nonlinear discrete-time stochastic systems with state delays
Authors: Wang, Z
Lam, J
Liu, X
Keywords: Filtering
Nonlinear systems
Stochastic systems
Time delay
Algebraic matrix inequalities
Publication Date: 2007
Publisher: Elsevier
Citation: Journal of Computational and Applied Mathematics, 201(1): 153-163, Apr 2007
Abstract: In this paper, the filtering problem is investigated for a class of nonlinear discrete-time stochastic systems with state delays. We aim at designing a full-order filter such that the dynamics of the estimation error is guaranteed to be stochastically, exponentially, ultimately bounded in the mean square, for all admissible nonlinearities and time delays. First, an algebraic matrix inequality approach is developed to deal with the filter analysis problem, and sufficient conditions are derived for the existence of the desired filters. Then, based on the generalized inverse theory, the filter design problem is tackled and a set of the desired filters is explicitly characterized. A simulation example is provided to demonstrate the usefulness of the proposed design method.
Description: This is the post print version of the article. The official published version can be obtained from the link below - Copyright 2007 Elsevier Ltd.
Sponsorship: This work was supported in part by the EPSRC under Grants GR/S27658/01 and GR/R35018/01, the Nuffield Foundation under Grant NAL/00630/G, the William M.W. Mong Engineering Research Fund of the University of Hong Kong, and the Alexander von Humboldt Foundation of Germany, and the National Natural Science Foundation of China under Grant 60504008. Z. Wang wishes to thank Dr. H. Gao of Harbin Institute of Technology of China for helpful discussions.
ISSN: 0377-0427
Appears in Collections:Computer Science
Dept of Computer Science Research Papers

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