Automatica, Vol.44, No.10, 2686-2690, 2008
Robust H-2 optimal filtering for continuous-time stochastic systems with polytopic parameter uncertainty
In this paper, robust H-2 optimal filtering is addressed for continuous-time stochastic systems with polytopic parameter uncertainty. A new robust stability condition is presented. A continuous-time robust H-2 optimal filter is obtained by solving a sufficient linear matrix inequality condition characterizing a solution of a robust minimum variance filtering problem which takes into account the polytopic type of model Uncertainties. The proposed approach is demonstrated through numerical examples. (c) 2008 Elsevier Ltd. All rights reserved.
Keywords:Continuous-time systems;Uncertain systems;Robust filtering;H-2 filtering;Convex optimization