Robust H∞ filter design for neutral stochastic uncertain systems with time-varying delay

In this paper, the robust H∞ filtering problem for a class of neutral stochastic systems is discussed. The system under consideration contains parameter uncertainties, Itô-type stochastic disturbances, time-varying delay. The parameter uncertainties are assumed to be time-varying norm-bounded. Using the stochastic Lyapunov stability theory and Itô's differential rule, a full-order filter is designed for all admissible uncertainties and time-varying delay, which is expressed in the form of linear matrix inequality (LMI). The dynamics of the filtering error systems are guaranteed to be robust stochastically mean square asymptotically stable, while achieving a prescribed stochastic robust H∞ performance level. At the end of this paper, a numerical example is given to demonstrate the usefulness of the proposed method.