Finite-time \(H_\infty\) filtering for linear continuous time-varying systems with uncertain observations (Q1760813): Difference between revisions

Summary: We are concerned with the finite-time \(H_\infty\) filtering problem for linear continuous time-varying systems with uncertain observations and \(\mathcal L_{2}\)-norm bounded noise. The design of finite-time \(H_\infty\) filter is equivalent to the problem that a certain indefinite quadratic form has a minimum and the filter is such that the minimum is positive. The quadratic form is related to a Krein state-space model according to the Krein space linear estimation theory. By using the projection theory in Krein space, the finite-time \(H_\infty\) filtering problem is solved. A numerical example is given to illustrate the performance of the \(H_\infty\) filter.