Delay-dependent L2L2–L∞L∞ filter design for stochastic time-delay systems

This paper is concerned with the problem of L2L2–L∞L∞ filter design for a class of stochastic time-delay systems. A delay-dependent sufficient condition is presented, which guarantees the existence of a linear filter ensuring that the filtering error system is stochastically asymptotically stable and its L2L2–L∞L∞ performance satisfies a prescribed level. A desired filter can be constructed by solving certain linear matrix inequalities. A numerical example is given to demonstrate the effectiveness of the proposed method.