H∞ filtering for stochastic time-delay systems

This paper presents the robust H_infin filter design for stochastic systems with time-varying delay. The aim is to design a stable linear filter assuring exponential stability in mean-square and a prescribed H_infin performance level for the filtering error system. Based on the application of the descriptor model transformation and free weighting matrices, delay-dependent sufficient conditions are proposed in terms of linear matrix inequalities (LMIs). Numerical example demonstrates the proposed approaches are effective and are an improvement over existing ones.