H-infinity filtering for a class of nonlinear stochastic systems

Souheil Halabi (1) , Hugues Rafaralahy (1) , Michel Zasadzinski (1) , Harouna Souley Ali (1)

1 CRAN - Centre de Recherche en Automatique de Nancy

In this paper, the purpose is to design an H-infinity filter for a class of nonlinear stochastic systems such that the estimation error is exponentially mean-square stable with a prescribed H-infinity norm criterion. The system is nonlinear and has multiplicative noises in both the state and mesurement equations. Using a change of coordinates on the control input the problem is transformed into a robust stochastic filtering one. It is then solved via an LMI formulation.

Mots clés: H-infinity filter; stochastic systems; nonlinear systems; multiplicative noises; Lyapunov stochastic functions; Itô formula.; Itô formula

Domaines: Automatique / Robotique

Souheil Halabi, Hugues Rafaralahy, Michel Zasadzinski, Harouna Souley Ali. H-infinity filtering for a class of nonlinear stochastic systems. Dec 2006, 6 p. ⟨hal-00119157⟩