Robust $H_\infty$ Filtering for Nonlinear Discrete-time Stochastic Systems
Optimization and Control
2018-12-21 v1
Abstract
This paper mainly discusses the filtering of general nonlinear discrete time-varying stochastic systems. A nonlinear discrete-time stochastic bounded real lemma (SBRL) is firstly obtained by means of the smoothness of the conditional mathematical expectation, and then, based on the given SBRL and a stochastic LaSalle-type theorem, a sufficient condition for the existence of the filtering of general nonlinear discrete time-varying stochastic systems is presented via a new introduced Hamilton-Jacobi inequality (HJI), which is easily verified. When the worst-case disturbance is considered, the suboptimal filtering is studied. Two examples including a practical engineering example show the effectiveness of our main results.
Cite
@article{arxiv.1812.08307,
title = {Robust $H_\infty$ Filtering for Nonlinear Discrete-time Stochastic Systems},
author = {Tianliang Zhang and Feiqi Deng and Weihai Zhang},
journal= {arXiv preprint arXiv:1812.08307},
year = {2018}
}