Article ID Journal Published Year Pages File Type
7151831 Systems & Control Letters 2014 8 Pages PDF
Abstract
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.
Related Topics
Physical Sciences and Engineering Engineering Control and Systems Engineering
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