H2 optimal filtering for continuous-time periodic linear stochastic systems with state-dependent noise

This note addresses the problem of optimal H2 filtering for a class of continuous-time time-varying stochastic systems. The time-variation character is considered to be periodic. The state space representation of the optimal filter is designed based on the unique periodic solution of a suitable Lyap...

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Bibliographic Details
Published in:Systems & control letters 2014-04, Vol.66, p.35-42
Main Authors: Dragan, Vasile, Aberkane, Samir
Format: Article
Language:English
Subjects:
[formula omitted] norm
Filtering
Lyapunov differential equations
Mathematics
Optimization and Control
Periodic stochastic systems
Riccati differential equations
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Summary:This note addresses the problem of optimal H2 filtering for a class of continuous-time time-varying stochastic systems. The time-variation character is considered to be periodic. The state space representation of the optimal filter is designed based on the unique periodic solution of a suitable Lyapunov differential equation and the periodic and stabilizing solution of a suitable generalized periodic Riccati differential equation. Some numerical experiments are also added to show the effectiveness of the proposed method.
ISSN:0167-6911
1872-7956
DOI:10.1016/j.sysconle.2013.12.020