Central suboptimal mean-square H∞ filter design for linear stochastic time-varying systems

This paper designs the central finite-dimensional H_∞ filter for a linear stochastic systems with integral-quadratically bounded deterministic disturbances, that is suboptimal for a given threshold γ with respect to a modified Bolza-Meyer quadratic criterion including the attenuation control term with opposite sign. In contrast to the previously obtained results, the paper reduces the original H_∞ filtering problem to the corresponding optimal H₂ filtering problem, using the technique proposed in. Numerical simulations are conducted to verify the designed filter performance for a linear stochastic system against the central suboptimal H_∞ filter available for the corresponding deterministic system.