Robust \(H_{\infty }\) filtering for general nonlinear stochastic state-delayed systems (Q1954552): Difference between revisions

Summary: We study the robust \(H_{\infty }\) filtering problem of nonlinear stochastic systems with time delay appearing in state equation, measurement, and controlled output, where the state is governed by a stochastic Itô-type equation. Based on a nonlinear stochastic bounded real lemma and an exponential estimate formula, an exponential (asymptotic) mean square \(H_{\infty }\) filtering design of nonlinear stochastic time-delay systems is presented via solving a Hamilton-Jacobi inequality. As one corollary, for linear stochastic time-delay systems, a Luenberger-type filter is obtained by solving a linear matrix inequality. Two simulation examples are finally given to show the effectiveness of our results.